ABN AMRO Clearing Bank N.V.annual accounts

2011

table of contents

5 >> Report by the Executive Board

10 >> Report by the Supervisory Board

12 >> Board Structure

13 >> Consolidated Financial statements of ABN AMRO Clearing Bank N.V. for the year 2011

60 >> Company Financial Statements of ABN AMRO Clearing Bank N.V. for the year 2011

67 >> Other information

3

Hereby we present the ABN AMRO Clearing Bank N.V.

(AACB) annual report 2011.

AACB is a wholly owned subsidiary of ABN AMRO Bank N.V.,

The financial statements of AACB are incorporated in the

consolidated financial statements of ABN AMRO Group N.V.

The legal entity AACB forms part of the business unit

ABN AMRO Clearing.

ABN AMRO Clearing is recognised as a global leader

in derivatives and equity clearing and one of the few

players currently able to offer global market access and

clearing services on more than 85 of the world’s leading

exchanges. ABN AMRO Clearing operates from 12

locations across the globe and offers an integrated

package of direct market access, clearing and custody

services covering futures, options, equity, commodities,

energy and fixed income.

The ABN AMRO Clearing operating model is, where

possible, self-supporting due to the nature of business,

where speed and responsiveness are critical and regu-

lators and clients expect separation of clearing activities

from the general banking activities. The clearing activities

are therefore undertaken out of AACB; a dedicated legal

entity which has a banking licence and is regulated

and supervised by DNB, being the central bank of the

Netherlands.

History The ABN AMRO Clearing concept was established in

1982 in Amsterdam. At a later stage clearing sites in

London, Frankfurt, Hong Kong, Sydney, Chicago, New York,

Kansas City, Singapore, Tokyo, Paris and Brussels were

opened.

In principle ABN AMRO Clearing is not engaged in any

proprietary trading, operating at arm’s length of ABN AMRO

BANK N.V. and therefore, provides clearing services as

an independent market participant with its focus on third

parties. ABN AMRO Clearing’s business model revolves

around comprehensive services to wholesale counter-

parties and professional clients. This requires that

ABN AMRO Clearing covers the full market chain from

market access, execution services to clearing, settlement

and multi-product asset servicing on a global basis.

Among other elements of the product offering, ABN AMRO

Clearing, in its capacity as a General Clearing Member

(‘GCM’) guarantees clients to counterparties and performs

near to real time risk management. ABN AMRO Clearing

offers 24-5 global services, on a multi asset class basis

(on exchange and Over the Counter (‘OTC’) market

coverage for futures, options, equity, commodities,

energy and fixed income). In addition, ABN AMRO

Clearing provides collateralized financing and securities

borrowing and lending services to its clients.

Third party clearing means that ABN AMRO Clearing

guarantees its clients towards exchanges and central

counterparties. ABN AMRO Clearing also handles the

administration of positions and the financing of these

positions for clients. The clients are predominantly

on-exchange traders and professional trading groups,

but ABN AMRO Clearing also services financial institutions,

banks, fund managers and brokers with its product

portfolio. ABN AMRO Clearing does not service retail

customers directly.

With a top three ranking in every time zone based on

turnover and market share, ABN AMRO Clearing is a robust

part of the global financial infrastructure. Additionally

indirect world-wide coverage of further markets or

exchanges respectively is offered through a network of

Executing and/or Clearing brokers.

Legal structureABN AMRO Clearing Bank N.V. is 100% owned by

ABN AMRO Bank N.V., a company incorporated in the

Netherlands.

report by theexecutive board

5

ABN AMRO Group N.V. (AAG) owns all shares (100%)

in ABN AMRO Bank N.V. (AAB). On 29 September

2011 the Dutch State transferred its shares in AAG and

ABN AMRO Preferred Investments B.V. to Stichting

administratiekantoor beheer financiële instellingen (‘NLFI’).

This Dutch Foundation, with an Independent Board, has

been set up to manage the financial interests held by

the State in Dutch financial institutions. NLFI issued

exchangeable depositary receipts in return for acquiring

the shares held by the Dutch State in ABN AMRO. NLFI

is responsible for managing these shares and exercising

all rights associated with these shares under Dutch law,

including voting rights. Material decisions require the

prior approval of the Minister of Finance. NLFI holds

all ordinary shares in AAG, representing 92.6% of the

voting rights. The non-cumulative preference shares in

AAG, representing 7.4% of the voting rights, are held

by ABN AMRO Preferred Investments B.V. This entity

issued shares are held by NLFI (70%, all priority shares)

and two institutional investors (30%, all ordinary shares).

AACB is a registered credit institution since 30 September

2003. Pursuant to the Act on the Supervision of the

Credit System 1992 DNB has been charged with the

supervision of the banking system in the Netherlands.

This statutory act has been replaced in 2007 by the

Financial Supervision Act (‘Wft’). AACB has been granted

authorisation in the Netherlands, Belgium, Germany,

United Kingdom and Singapore to engage in universal

banking business.

ABN AMRO Clearing provides its European clearing and

related services out of a public limited liability company

in the Netherlands and through branches in Frankfurt,

London and Brussels.

AACB provides non European Clearing services by its 100%

subsidiaries ABN AMRO Clearing Sydney, ABN AMRO

Clearing Tokyo, ABN AMRO Clearing Hong Kong, ABN AMRO

Clearing Singapore and ABN AMRO Clearing Chicago.

AACB incorporated the European Multilateral Clearing

Facility N.V. (EMCF) on February 28th 2007. The financial

statements of European Multilateral Clearing Facility N.V.

are ‘included in the consolidated financial statements of

AACB and as well into the consolidated financial statements

of ABN AMRO Group N.V. The EMCF provides European

CCP services in a public limited company in the Netherlands.

In order to improve client asset segregation, a dedicated

safekeeping company ABN AMRO Clearing Safekeeping

N.V. (AACS) has been incorporated as of March 20th

2007. On 11 November 2011 a legal merger took place

between ABN AMRO Global Services N.V. (AAGCS) and

AACS. ABN AMRO Bank N.V. transferred its certificates

of shares in AAGCS to ABN AMRO Clearing Bank N.V. as

part of this merger.

Financial result AACB 20112011 has been a challenging year for the global economy.

Fear, gloom and weakening confidence have been the

main characteristics. The year started with the Arab Spring

which pushed up oil prices, damaging the global economy.

Then there were the catastrophic events in Japan which

caused distortions to global supply chains. This all led to

rising inflation and fear for recession. The US Fed respon-

ded by committing to keeping official interest rates at

low levels while the ECB raised the rates.

Then the debate over the US debt ceiling erupted and

the US sovereign rating was cut. European leaders

organized several summits but failed to convince markets

to ease the debt crisis. Italy and Spain threatened to lose

access to market funding and rating agencies reviewed

the rating of many euro zone countries.

However, the US economy did not fall into recession as

was expected and the economic growth accelerated in

the second half of 2011. European banks on the other

hand were being forced into deleveraging processes

which damaged the euro zone economy. All in all, these

events have had major impacts on global financial markets

leading to high volatilities which consequently have had

a positive effect on cleared volumes.

AACB recorded a net profit of € 114.7 million in 2011. In

comparison to previous year, 2011 was more profitable

as a result of the global increase in cleared volume and

due to new client inflow and increase in market share.

Income from financing activities where also above 2010

but utilisation of credit remained below average.

The ABN AMRO Clearing clients continued to stay loyal

and showed trust and comfort to the ABN AMRO Clearing

brand and its staff. Like in 2010 and 2009 AACB did not

suffer any major losses on client defaults.

6 Report by the Executive Board

The normalized expenses levels increased marginally

in 2011. However, AACB maintains a strong operating

leverage and cost income efficiency ratio.

AACB’s Amsterdam office uses the centralised services of

ABN AMRO Bank N.V., its parent company. The costs of

these services include charges for information technology

(e.g. hardware, software, computer specialists), facilities,

personnel and corporate overhead. As ABN AMRO

Bank N.V. does not apportion these expenses, they have not

been included in the results. As of 2012 these expenses

will be charged to AACB and therefore be fully incorporated.

Our parent company ABN AMRO Bank N.V. and AACB

on a stand alone basis are adequately capitalized and

therefore well positioned to meet the upcoming Basel III

capital and liquidity requirements, which will be phased-in

as of 2013.

The ABN AMRO group policy is to upstream dividends from

subsidiaries where appropriate. The dividend 2011 will be

based on our current and projected consolidated capital

ratio’s and local regulatory and exchange requirements in

combination with our growth strategy upon distribution.

The 2011 dividend amount will be decided at the General

Meeting of Shareholders in May 2012.

CapitalIssued and paid-up share capital of AACB did not change

in the year 2011. Authorised share capital amounts to

€ 50,000,000 distributed over 50,000 shares each having

a nominal value of € 1,000. At year-end 2011, all shares

were held by ABN AMRO Bank N.V.

Information TechnologyDerivatives and Securities trading create an extensive and

complex demand for information and data processing.

A key focus is the continuous investments in performance

upgrades of software and hardware to cater for exponential

growth in market volumes in 2011 and beyond.

In the coming years ABN AMRO Clearing will transform

from a multi local and multi (core) system business unit to

a truly global organization. The execution of our IT strategy

has started and will result in the implementation of an overall

banking system with ancillary systems and applications

in 2012. The foreseen IT Roadmap will continuously

enable us to meet the demands of our clients and key

stakeholders for the short and long term future.

An increasing number of ABN AMRO Clearing clients

operate on a global basis and/or have global presence.

These clients are also responsible for the bigger part of

the ABN AMRO Clearing turnover.

They ask ABN AMRO Clearing to provide them with:

▶ The same service worldwide;

▶ Standardized reporting;

▶ Limited client-supplier relationships and

documentation;

▶ Consolidation on global level from risk perspective.

ABN AMRO Clearing will make ongoing investments

in Information Technology to maintain and optimise its

present standard of service.

Dutch Banking CodeThe Banking Code that was drawn up by the Netherlands

Bankers’ Association (NVB) came into effect on 1 January

2010. The Code sets out principles that banks should adhere

to in terms of corporate governance, risk management,

audit and remuneration. The Banking Code applies to

AACB as a licensed bank under the Wft.

AACB forms part of the ABN AMRO group of companies

(ABN AMRO). The principles of the Banking Code are

applied by ABN AMRO in full to all relevant entities

within its group of companies on a consolidated basis. In

accordance with ABN AMRO’s management framework,

all members of the group are an integral part of the

ABN AMRO organisation. The management framework

entails that the bank’s policies and standards related to

compliance with internal and external regulations and

best practises are applicable to the full group and con-

sequently are defined at group level for implementation

within the different parts of the organisation. AACB

implemented the applicable parts of the Dutch Banking

Code. The annual report of ABN AMRO Group N.V.

provides further details on the application of the Dutch

Banking Code.

RegulatoryThe regulatory environment in which we operate continues

to be an extremely challenging one. The number and

impact of rule changes continues to increase, and regulators

are expecting shorter lead times between finalising

7

rules and the date of implementation. All of this creates

a need for a comprehensive overview of the rules that

impact our business and careful use of resources to gain

efficiency in the implementation of the changes about

which we have no choice and little control.

We are coming towards the end of the period for imple-

mentation of the G20 requirements for OTC derivatives

that were agreed after the credit crisis. Although the

finalisation of the rules has been substantially delayed,

the leading piece of legislation in this area remains the

Dodd Frank Act, which will have an extra-territorial

application beyond the boundaries of the United States.

We are dealing with these developments on a global

basis, as the requirements evolve and will seek to meet

the various deadlines for compliance. Following Dodd

Frank during 2012 and into 2013, EMIR in Europe and

various separate pieces of OTC legislation in Asia that

will cover the same ground and which we hope to

leverage from our previous experience.

In addition, the drafting of MIFID2, a revised Market

Abuse Directive, and various pieces of regulatory

guidance continues in Brussels and across Europe.

We are participating in consultations on these rules

changes, both through trade bodies and directly by

interacting with regulators such as the AFM and ESMA.

The collapse of MF Global towards the end of 2011

further highlighted the pivotal role played by market

infrastructure firms in ensuring the stability of the

financial system. We were pleased that a significant

number of clients affected by this incident turned to

us to enable a continuation of their trading activities

and thank our staff for working tirelessly to be able

to accept them smoothly, quickly, and without risk.

However as an outcome, we foresee further regulatory

oversight on our business as well.

Future developmentsThe post-financial crisis regulatory reforms has a significant

effect on the course of business within ABN AMRO

Clearing. Capital requirements will increase, more

products will be pushed into a Central Clearing House

and execution criteria continue to change.

The commercial focus in Europe will be on retaining

market leadership, while in the United States and Asia

ABN AMRO Clearing will continue to pursue further

growth, especially in clearing and financing of equity

option players. Initiatives launched in recent years to

sustain future growth can now be marketed to clients

and prospects. ABN AMRO Clearing will roll out its

global energy and commodities clearing product world-

wide and the enhanced FX offering that started out in

Europe, will be gradually expanded to other regions of

the world.

ABN AMRO Clearing also continues to look at oppor-

tunities to further increase its geographic footprint by

establishing offices in other countries.

By geographic expansion and adding new product lines

ABN AMRO Clearing makes its product scope appealing

to not only the proprietary trading community but also more

and more to Financial Institutions, Retail Aggregators,

Corporate Hedgers and Alternative Investors.

We have again achieved a great deal in 2011, none of which

would have been possible without the commitment,

dedication and hard work of our highly motivated

employees. We would like to thank them for their

vital contribution to our success.

We also thank our customers for their continuing trust

and loyalty during a turbulent and exceptional year.

In July 2011 Erik Bosmans, a long standing member of

the Supervisory Board stepped down. We would like to

express our appreciation to him for his commitment and

support in the past years.

Amsterdam, 9 May 2012

Executive Board

M.C. Jongmans

J.B.M. de Boer

A.P. Boers

ABN AMRO Clearing Bank N.V.,

registered in Amsterdam.

Gustav Mahlerlaan 10,

1082 PP Amsterdam,

The Netherlands Amsterdam

Trade Register entry no. 33170459

8 Report by the Executive Board

9

From left to right:

Jan Bart de Boer,

Marcel Jongmans and

Aldwin Boers.

10

report by thesupervisory board

Responsibilities of the Supervisory BoardThe Supervisory Board supervises the Managing Board

as well as the general course of affairs of ABN AMRO

Clearing Bank and of its affiliated entities. In addition, it

is assisting the Management Board.

In performing their duties, the members of the Super-

visory Board are guided by the interests and continuity

of ABN AMRO Clearing Bank and of its affiliated entities

and take into account the relevant interests of ABN AMRO

Clearing Bank’s stakeholders. Certain powers are vested

with the Supervisory Board, including the approval of

certain resolutions proposed by the Managing Board.

ABN AMRO Clearing Bank has established regulations

for the Management Board and Supervisory Board to

govern their activities and responsibilities.

Appointment, suspension and dismissalAMRO Clearing Bank is part of ABN AMRO and therefore

bound to the ABN AMRO governance and internal policies.

The Supervisory Board of ABN AMRO Clearing Bank is

composed of members of ABN AMRO’s management.

All members of the Supervisory Board are employed

by ABN AMRO Bank and do not receive separate

compensation as Supervisory Board member.

Furthermore, candidates are generally appointed in

the Supervisory Board on the basis of their position

and related knowledge within ABN AMRO.

A specific programme of permanent education will be

launched at group level for members of the Managing

Board and Supervisory Board of ABN AMRO Clearing

Bank. Since ABN AMRO Clearing Bank is an integral

part of the ABN AMRO organisation and all members of

the Supervisory Boards are members of ABN AMRO’s

management, these members are assessed annually

by ABN AMRO on, amongst other things, relevant

knowledge and leadership qualities.

Members of the Supervisory Board are formally appointed

by the General Meeting of Shareholders. Upon their

appointment, all members of the Supervisory Board follow

an introductory programme designed to ensure that they

have the relevant knowledge to fulfil their duties, including

thorough knowledge of ABN AMRO Clearing Bank.

The programme provides the information needed for

participation in the permanent education programme.

As the knowledge, background and experience of newly

appointed members of the Supervisory Board differ,

the exact curriculum of the introductory programme is

determined on an ad hoc basis.

Members of the Supervisory Board may be suspended

or dismissed by the General Meeting of Shareholders.

Composition of the members of the Supervisory Board The Supervisory Board is satisfied with its composition

especially with regard to expertise. The Supervisory Board

as a whole possesses sufficient knowledge, expertise

and experience to adequately perform its duties.

The members of the Supervisory Board hold executive

positions within ABN AMRO. The Supervisory Board

does not expect any changes in its composition in 2012.

In July 2011, E.T.P.T.M. Bosmans stepped down from the

Supervisory Board of ABN AMRO Clearing Bank whilst

A.J.B.M. Peek, J. Ketelaar and F. Woelders were appointed.

The new members of the Supervisory Board followed an

introductory programme with ABN AMRO Clearing Bank N.V.

By the end of 2011, the Supervisory Board is composed

as follows:

J.G. ter Avest (Chairman) (52, M), J.R. Dijst (40, M),

A.J.B.M. Peek (56, M), J. Ketelaar (51, M), F. Woelders

(46, M). Age and gender between brackets. All members

of the Supervisory Board have the Dutch nationality.

11

Supervisory Board meetings The Supervisory Board met on 9 occasions during the

period under review. Eight meetings were scheduled

plenary sessions together with the Managing Board.

One meeting took place by conference call.

The Chairman and the Company Secretary prepared the

agenda for the meetings of the Supervisory Board in 2011.

Regular agenda items included financial performance, risks,

compliance, legal and regulatory issues, audit findings

and organisational changes.

A more detailed description of the matters discussed is

provided below.

The company’s financial performance was discussed at

the Supervisory Board meetings after the end of each

quarter. Comprehensive information provided by the

Managing Board with the assistance of internal and

external auditors gave the Supervisory Board a clear

picture of the company’s risks, results, capital and

liquidity positions.

At its meeting in May, the Supervisory Board reviewed,

discussed and approved the Annual Report 2010, the

external auditor attended the meeting to present its

Audit Report 2010. Throughout the year, the Supervisory

Board and the Managing Board discussed economic

developments including the default of MF Global.

The Company’s strategy and budget 2012 were discus-

sed during a special meeting in October. The Managing

Board regularly informed the Supervisory Board about

intended organisational changes and the implementation

and level of effectiveness of the ABN AMRO three lines

of defence model.

Corporate governance and the implementation of the

Dutch Banking Code were discussed in the beginning

of the year.

Outside the Supervisory Board meetings, members of

the Supervisory Board and the Managing Board were

in contact on a regular basis, and the Chairman of the

Supervisory Board and the Chairman of the Managing

Board met on a bi-weekly basis.

ABN AMRO applies the Banking Code’s principles on

risk appetite, risk policy and risk management on a

consolidated basis. Consequently, ABN AMRO Clearing

Bank N.V. does not have installed separate committees

of the Supervisory Board (i.e. Audit/Risk/Remuneration

Committee). Once a year, Group internal audit and the

external auditor attend the Supervisory Board meeting.

Amsterdam, 9 May 2012

Supervisory Board

J.G. ter Avest

J.R. Dijst

J. Ketelaar

A.J.B.M. Peek

F. Woelders

Executive BoardAt year-end 2011, the Management Board consisted of

the following statutory members:

M.C. Jongmans

J.B.M. de Boer

A.P. Boers

Supervisory Board On 1 July 2011 E.T.P.T.M. Bosmans resigned from the

Supervisory Board

J. Ketelaar, A.J.B.M. Peek and F. Woelders are appointed

as members of the Supervisory Board as of 1 July 2011.

At year-end 2011, the Supervisory Board consisted of the

following members:

J.G. ter Avest

J.R. Dijst

J. Ketelaar

A.J.B.M. Peek

F. Woelders

consolidated financial statementsof ABN AMRO Clearing Bank N.V. for the year 2011

board structure

12

consolidated financial statementsof ABN AMRO Clearing Bank N.V. for the year 2011

14 >> Consolidated income statement for the period ended 31 December 2011

15 >> Consolidated statement of comprehensive income

16 >> Consolidated balance sheet as at 31 December 2011

18 >> Consolidated statement of changes in Equity

19 >> Consolidated cash flow statement for the year 2011

20 >> Accounting Policies

32 >> Risk Management

38 >> Geographical information

43 >> Notes to the consolidated income statement for the year 2011

47 >> Notes to the consolidated balance sheet as at 31 December 2011

13

consolidated income statementfor the period ended 31 December 2011

14

(x € 1.000) Note 2011 2010

IncomeInterest income 241.682 227.321

Interest expense (183.954) (172.504)

Net interest income 1 57.728 54.817

Commission and fee income 656.996 603.327

Commission and fee expenses (468.561) (435.235)

Net commisions and fees 2 188.435 168.092

Dividend and other Investment Income 3 591 918

Realised capital gains on investments 4 19.979 64

Other (un)realised gains and losses 5 258 (625)

Other income 6 2.326 2.530

Total income 269.317 225.796

Change in provision for impairment 7 1.619 2.185

Net revenues 270.936 227.981

Expenses

Personnel expenses 8 (48.333) (43.341)

Depreciation and amortisation of (in)tangible assets 9 (7.029) (5.382)

General and administrative expenses 10 (57.912) (58.866)

Total expenses (113.274) (107.589)

Result before taxation 157.662 120.392

Taxation 11 (41.745) (35.531)

Profit for the year 115.917 84.861

Non-Controlling Interests 12 (1.200) (2.390)

Net profit attributable to parent company 114.717 82.471

consolidated statementof comprehensive income

15

(x € 1.000) 2011 2010

Net profit 114.717 82.471

Other Comprehensive income

Currency translation results on unrealised gains and losses 10.055 39.915

Available for sale investments (9.383) 927

Income tax relating to AFS investments 2.340 (147)

Net investment hedges (2.276) (42.103)

Income tax relating to NIH 580 10.737

1.316 9.329

Total Comprehensive income 116.033 91.800

Total comprehensive income attrributable to:

Owners of the parent company 117.233 94.190

Non-Controlling interests (1.200) (2.390)

Total Comprehensive income 116.033 91.800

consolidated balance sheetas at 31 December 2011

16

Before profit appropriation (x € 1.000) Note 2011 2010

Assets

Cash and cash equivalents 13 3.760.297 4.281.443

Short term deposits 14 37.930 -

Loans and receivables - banks 15 3.868.246 4.365.505

Loans and receivables - customers 16 12.563.088 9.363.399

Financial assets held for trading 17 3.622 5.037

Investments available for sale 18 50.222 49.154

Trade and other receivables 19 1.750.269 1.031.623

Property and equipment 20 15.537 11.637

Intangible assets 21 2.555 1.506

Current tax assets 22 2.804 148

Deferred tax assets 23 12.817 1.677

Other assets 24 48.063 79.168

Total assets 22.115.450 19.190.297

Contingent Assets 25 3.749.453 4.711.652

Liabilities

Due to banks 26 15.352.149 13.327.968

Due to customers 27 5.207.057 4.378.749

Financial liabilities held for trading 28 5.366 12.794

Current tax liabilities 29 27.564 13.223

Deferred tax liabilities 30 1.098 3.674

Accrued interest, expenses and other liabilities 31 749.278 803.360

Provisions 32 8.180 3.044

Total liabilities 21.350.692 18.542.812

17

Note 2011 2010

EquityShare capital 15.000 15.000

Share premium 250 -

Retained earningss 619.869 537.607

AFS reserve 2.083 9.126

Translation reserve 53.283 43.228

Revaluation reserve (45.873) (44.177)

Unappropriated result of the year 114.717 82.471

Equity attributable to the shareholder 33 759.329 643.255

Non-Controlling Interests 34 5.429 4.230

Total Equity 764.758 647.485

Total Liabilities and Equity 22.115.450 19.190.297

Contingent Liabilities 35 5.324.233 7.121.217

(x € 1.000) 2010

Share capital

Premium share

Retained earnings

Unrealised gains and

losses

Result of the year

Share-holders

Equity

Minority Interest

Total Equity

Opening balance at 1 January 15.000 427.067 (1.152) 108.737 549.652 3.365 553.017

Profit appropriation 108.737 (108.737) - -

AFS reserve 780 780 780

Translation reserve (31.366) (31.366) (31.366)

Revaluation reserve 1.803 39.915 41.718 41.718

Dividend paid to minorities - (1.525) (1.525)

Unappropriated result of the year 82.471 82.471 2.390 84.861

Closing balance as at 31 December 15.000 - 537.607 8.177 82.471 643.255 4.230 647.485

(x € 1.000) 2011

Share capital

Premium share

Retained earnings

Unrealised gains and

losses

Result of the year

Share-holders

Equity

Minority Interest

Total Equity

Opening balance at 1 January 15.000 - 537.607 8.177 82.471 643.255 4.230 647.485

Profit appropriation 82.471 (82.471) - -

AFS reserve (7.043) (7.043) (7.043)

Translation reserve 10.055 10.055 10.055

Revaluation reserve (209) (1.695) (1.905) (1.905)

Dividend paid to minorities - - -

Increase of Capital 250 250 250

Unappropriated result of the year 114.717 114.717 1.199 115.916

Closing balance as at 31 December 15.000 250 619.869 9.493 114.717 759.329 5.429 764.758

consolidated statementof changes in Equity

18

consolidated cash flow statementfor the year 2011

(x € 1.000) 2011 2010

Cash and cash equivalents - Balance as at 31 December 4.281.443 10.359.358

Reclassification - (4.063.668)

Cash and cash equivalents - Balance as at 1 January 4.281.443 6.295.690

Profit before taxation 157.662 120.392

Adjustment result ineffectiveness Net investment hedge - 325

Depreciation, amortisation of (in)tangible assets 7.029 5.382

Change in provision for impairment 1.128 4.821

Effect of exchange rate variance on cash and cash equivalents 42.530 239.626

Adjusted profit for non-cash items 208.349 370.546

Changes in operating assets and liabilities:

Loans and receivables - banks 466.176 (450.928)

Loans and receivables - customers (2.998.931) (383.324)

Trade and other receivables (614.673) (141.946)

Due to banks 2.107.059 807.280

Due to customers 826.931 (1.724.289)

Net changes in all other operational assets and liabilities (406.931) (440.785)

Income taxes paid (50.448) (35.212)

Net cash from operating activities (462.468) (1.998.658)

Purchases of investments (9.590) (12.406)

Proceeds from sales, maturities and redemptions 8.795 5.199

Purchases of property and equipment (9.395) (5.677)

Purchases of other (in)tangible assets (2.020) (1.116)

Dividend paid to shareholders (incl. dividend to minorities) - (1.525)

Net realised gains (losses) on sales (8.538) (64)

Cash flow from investing activities (20.748) (15.589)

Cash and short term deposits - Balance as at 31 December 3.798.227 4.281.443

Supplementary disclosures of operating cash flow information

Interest income received 237.532 231.751

Interest expense paid (185.865) (175.171)

Dividend income received 591 918

19

accounting policies

Corporate informationABN AMRO Clearing Bank N.V. has her statutory domicile

in Amsterdam and is a wholly owned subsidiary of

ABN AMRO Bank N.V. The financial statements of

ABN AMRO Clearing Bank N.V. and ABN AMRO Bank N.V.

are incorporated in the consolidated financial statements

of ABN AMRO Group N.V.

The annual financial statements were prepared by

the Managing Board and authorised for issue by the

Supervisory Board and Managing Board on May 9, 2012.

Basis of presentation

ABN AMRO Clearing Bank N.V.’s , Consolidated Financial

Statements, including the 2010 comparative figures, are

prepared in accordance with IFRS – including International

Accounting Standards (‘IAS’) and Interpretations – at 31

December 2011 and as adopted by the European Union

and with part 9 of book 2 of the Dutch Civil Code.

Where accounting policies are not specifically mentioned

below, reference should be made to the IFRS’s as adopted

by the European Union.

The accounting policies used to prepare these 2011

Consolidated Annual Financial Statements are consistent

with those applied for the year ended 31 December 2010.

As of 6 November 2003 Fortis Bank Nederland (Holding) N.V.

deposited a Notice of Liability pursuant to article 2:403

of the Dutch civil code with respect to Fortis Bank Global

Clearing N.V. with the trade register of the Chamber of

Commerce in Amsterdam. This 403 declaration was

renewed and deposited as of July 1st 2010 by ABN AMRO

Group N.V. with respect to ABN AMRO Clearing Bank N.V.

In principal, ABN AMRO Clearing Bank N.V. is not engaged

in any proprietary trading, operates at arm’s length of

ABN AMRO Bank N.V. and therefore, provides clearing

services as an independent market participant with its

focus on third parties.

Third party clearing means that ABN AMRO Clearing

Bank N.V. guarantees its clients towards the exchanges

and central counterparties and takes care of the risk

management of the (financial) position of these clients.

ABN AMRO Clearing Bank N.V. also handles the admini-

stration of positions and the financing of these positions

for clients. The clients are predominantly on-exchange

traders and professional trader groups but ABN AMRO

Clearing Bank N.V. also services financial institutions, banks,

fund managers and brokers with its product portfolio.

ABN AMRO Clearing Bank N.V. does not service retail

customers directly.

Accounting EstimatesThe preparation of financial statements in conformity with

IFRS requires the use of certain accounting estimates. It

also requires management to exercise its judgement in the

process of applying these accounting principles. Actual

results may differ from those estimates and judgemental

decisions.

The subsidiaries and branches of ABN AMRO Clearing Bank N.V. are:

Name Entitlements Est.

year

OCA POM B.V. 100% 1990

ABN AMRO Clearing Bank Frankfurt Branch 100% 2004

ABN AMRO Clearing Bank London Branch 100% 2004

ABN AMRO Clearing Singapore Pte 100% 2005

ABN AMRO Clearing Tokyo Co Ltd 100% 2007

European Multilateral Clearing Facility N.V. 77% 2007

ABN AMRO Clearing Hong Kong Ltd 100% 2008

ABN AMRO Clearing Sydney Pty Ltd 100% 2008

ABN AMRO Clearing Chicago LLC 100% 2009

ABN AMRO Clearing Bank Brussels Branch 100% 2009

ABN AMRO Clearing Bank Singapore Branch 100% 2009

Holland Clearing House N.V. 100% 2011

20

Judgements and estimates are principally made in the

following areas:

▶ recoverable amounts in case of indebtedness of clients.

Recoverable amount is based on mark-to-market of

client position vis-à-vis future obligations of ABN AMRO

Clearing Bank N.V. in function as General Clearing

Member;

▶ determination of fair values of non-quoted financial

instruments;

▶ determination of the useful life and the residual value

of property and equipment, investment property and

intangible assets;

▶ actuarial assumptions related to the measurement of

pension liabilities and assets;

▶ estimation of present obligations resulting from past

events in the recognition of provisions.

Changes in accounting policiesNew and amended IFRSs adopted by ABN AMRO

Bank N.V. applicable and relevant for ABN AMRO

Clearing Bank N.V.

For 2011, the International Accounting Standards Board

(the IASB) and the International Financial Reporting

Interpretations Committee (the IFRIC) did not issue any

new and revised Standards an Interpretations that apply

to ABN AMRO Clearing Bank’s annual accounts.

New accounting standards and interpretations

IFRS 9 Financial instrumentsIFRS 9 as issued reflects the first phase of the IASBs

work on the replacement of IAS 39 and applies to

classification and measurement of financial assets and

liabilities as defined in IAS 39. The standard is effective

for annual periods beginning on or after 1 January 2015.

The standard is not yet endorsed by the European Union

and therefore not available for early adoption. In subsequent

phases, the Board will address impairment and hedge

accounting. Exposure drafts have been issued.

The completion of these projects is expected in 2012.

ABN AMRO Clearing Bank N.V. is currently assessing the

impact of both the first phase and the second phase on

its financial statements.

IFRS 10 Consolidated Financial StatementsIFRS 10 replaces all of the consolidation guidance of IAS 27

Consolidated and separate Financial Statements and SIC

12 Consolidation – Special Purpose Entities. Consolidation

is required when there is control that is defined as a

combination of power, exposure to variability in returns

and a link between the two. IAS 28, Investments in

Associates and Joint Ventures is also amended for

conforming changes based on the issuance of IFRS 10.

IFRS 10 is effective for annual periods beginning on

or after 1 January 2013. ABN AMRO Clearing Bank is

currently reviewing this new IFRS 10 and will assess

the impact on its financial statements.

IAS 1 Presentation of Financial StatementsIAS1 addresses changes in the presentation of Other

Comprehensive Income. The amended standard emphases

that profit or loss and Other Comprehensive Income

should be grouped together, i.e. either as a single

‘statement of profit or loss’ or a ‘statement of compre-

hensive income’. This last option is existing practice for

ABN AMRO Clearing Bank. ABN AMRO Clearing Bank

will assess if it will continue this practice or convert to

the other option included in the amended IAS 1. This

standard is applicable for annual periods beginning on

or after 1 July 2012, with early adoption permitted.

Endorsement by the European Commission has not

taken place yet, and is therefore not yet available for

early adoption.

IAS 12 Income taxesThe amendments to IAS 12 provide a practical approach

for measuring deferred tax liabilities and deferred tax

assets when investment property is measured using

the fair value model in IAS 40 Investment property.

The amendment introduces a presumption that an

investment property is recovered entirely through sale.

This presumption is rebutted if the investment property

is held within a business model whose objective is

to consume substantially all of the economic benefits

embodied in the investment property over time, rather

than through sale. This standard is applicable for annual

periods beginning on or after 1 January 2012, with early

adoption permitted. Endorsement by the European

Commission has not taken place yet, and is therefore

not yet available for early adoption.

IAS 19 Employee BenefitsThe amended IAS 19 states that changes in the defined

benefit obligation and fair value of plan assets are recog-

nised in the period as they occur. The ‘corridor’ method is

eliminated and actuarial gains and losses and unrecognised

21

Consolidation Principles

Basis of consolidationThe consolidated financial statements of ABN AMRO

Clearing Bank N.V. include the financial statements of

the parent and its controlled entities. It incorporates

assets, liabilities, revenues and expenses of ABN AMRO

Clearing Bank N.V. and its subsidiaries. Non controlling

interests, held by third parties, in both equity and results of

Group companies are stated separately in the consolidated

financial statements.

Subsidiaries are included using the same reporting period

and consistent accounting policies. Intercompany balances

and transactions, and any related unrealised gains and

losses, are eliminated in preparing the consolidated

financial statements.

Unrealised gains arising from transactions with associates

and jointly controlled entities are eliminated to the extent

of ABN AMRO Clearing’s interest in the enterprise.

Unrealised losses are also eliminated unless the transaction

provides evidence of impairment in the asset transferred.

SubsidiariesSubsidiaries are those enterprises controlled by ABN AMRO

Clearing. Control is deemed to exist when ABN AMRO

Clearing has the power, directly or indirectly, to govern

the financial and operating policies of an enterprise so

as to obtain benefits from its activities. The existence

and effect of potential voting rights that are presently

exercisable or convertible are taken into account when

assessing whether control exists. Unless, in exceptional

circumstances, it can be demonstrated that such

ownership does not constitute control. Control also

exists when the parent owns one half or less of voting

power but has the power to govern the financial and

operating policies.

The financial statements of subsidiaries are included

in the consolidated financial statements from the date

on which control commences until the date on which

control ceases. Equity attributable to non-controlling

interests is shown separately in the consolidated balance

sheet as part of total equity. Current period profit or loss

attributable to non-controlling interests is presented as

an attribution of profit for the year.

past service costs are recognised directly in Other

Comprehensive Income. Because actuarial gains and

losses are no longer deferred, both the net defined

benefit liability/asset and the amounts recognised in

profit or loss are affected.

The amended standard splits changes in defined benefit

liabilities/assets in:

▶ service cost (including past service costs, curtailments

and settlements) – in profit or loss;

▶ net interest costs (i.e., net interest on the net defined

benefit liability) – in profit or loss;

▶ remeasurement of the defined benefit liability/asset –

in other comprehensive income.

The amended IAS 19 is effective for periods beginning on

or after 1 January 2013. ABN AMRO Clearing Bank N.V.

currently uses the ‘corridor’ method. ABN AMRO Bank N.V.

is currently assessing the impact of this amended

standard on the financial statements. The European

Commission has not endorsed this standard yet, and

is therefore not yet available for early adoption.

Improvements to IFRSs

Amendments resulting from Improvements to IFRSs to

the following standards did not have any impact on the

accounting policies, financial position or performance of

the Bank during this financial year:

▶ IFRS 7 Financial Instruments: Disclosures

▶ IAS 1 Presentation of Financial Statements

▶ IAS 27 Consolidated and Separate Financial

Statements

▶ IFRIC 13 Customer Loyalty Programmes

Geographical informationA geographical area is engaged in providing products or

services within a particular economic environment that are

subject to risks and returns that are different from those

of segments operating in other economic environments.

ABN AMRO Clearing Bank’s reported geographical areas

are as follows:

22 Accounting policies

Netherlands Singapore

Germany Japan

Great Britain Hong Kong

Belgium Australia

United States

The consolidated financial statements include those of

ABN AMRO Clearing Bank N.V. and its subsidiaries:

Foreign CurrencyThe consolidated financial statements are stated in

euro’s, which is the functional currency of the parent

company of ABN AMRO Clearing Bank N.V.

Foreign Currency differencesThe financial performance of ABN AMRO Clearing’s foreign

operations, conducted through branches, subsidiaries,

associates and joint ventures, is reported using the

currency (‘functional currency’) that best reflects the

economic substance of the underlying events and

circumstances relevant to that entity.

The assets and liabilities of foreign operations, including

goodwill and purchase accounting adjustments, are

translated to ABN AMRO Clearing’s presentation currency,

the euro, at the foreign exchange rates prevailing at the

reporting date. The income and expenses of foreign

operations are translated to the euro at the rate that

approximates the rates prevailing at the transaction date.

Currency translation differences arising on these translations

are recognised directly in equity (‘Unrealised gains and

losses Currency result’).

Name Place registered office

Country

ABN AMRO Clearing Chicago LLC

Chicago United States

ABN AMRO Clearing Sydney Pty Ltd

Sydney Australia

ABN AMRO Clearing Hong Kong Ltd

Hong Kong Hong Kong

ABN AMRO Clearing Tokyo Co Ltd

Tokyo Japan

ABN AMRO Clearing Singapore Pte

Singapore Singapore

European Multilateral Clearing Facility N.V.

Amsterdam The Netherlands

OCA POM B.V. Amsterdam The Netherlands

Holland Clearing House N.V.

Amsterdam The Netherlands

Exchange differences arising on monetary items,

borrowings and other currency instruments, designated

as hedges of a net investment in a foreign operation,

are recorded in equity (under ‘Unrealised gains and

losses Currency result’) in the consolidated financial

statements, until the disposal of the net investment,

except for any hedge ineffectiveness that is immediately

recognised in the income statement.

Transactions in a currency that differs from the functional

currency of the transacting entity are translated into

the functional currency at the foreign exchange rate at

transaction date. Monetary assets and liabilities denomi-

nated in foreign currencies at reporting date are translated

to the functional currency at the exchange rate at that date.

Non-monetary assets accounted for at cost and denomi-

nated in foreign currency are translated to the functional

currency at transaction date.

Translation of non-monetary items depends on whether

the non-monetary items are carried at historical cost or

at fair value. Non-monetary items carried at historical

cost are translated using the historical exchange rate

that existed at the date of the transaction. Non-monetary

items that are carried at fair value are translated using

the exchange rate on the date that the fair values are

determined. The resulting exchange differences are

recorded in the income statement as foreign currency

gains (losses) except for those non-monetary items whose

fair value change is recorded as a component of the equity.

Currency translation differences on all monetary financial

assets and liabilities are included in foreign exchange gains

and losses in trading income. Translation differences on

non monetary items (such as equities) held at fair value

through profit or loss are also reported through income

and, for those classified as available for sale, directly

in equity within ‘Net unrealised gains and losses on

available-for-sale assets’.

23

The following table shows the rates of the relevant

currencies for ABN AMRO Clearing Bank N.V.:

Trade Date and Settlement Date AccountingAll purchases and sales of financial assets requiring

delivery within the time frame established by regulation

or market convention are recognised on the trade date,

which is the date on which ABN AMRO Clearing Bank N.V.

becomes a party to the contractual provisions of the

financial assets.

Forward purchases and sales other than those requiring

delivery within the time frame established by regulation or

market convention are recognised as derivative forward

transactions until settlement.

OffsettingFinancial assets and liabilities are offset and the net

amount is reported on the balance sheet if there is a

legally enforceable right to set off the recognised amounts

and there is an intention to settle on a net basis, or realise the

asset and settle the liability simultaneously. Assets are recor-

ded net of any accumulated provision for impairment loss.

Classification and Measurement of Financial Assets and LiabilitiesABN AMRO Clearing Bank N.V. classifies financial assets

and liabilities based on the business purpose of entering

into these transactions.

All assets and liabilities have a maturity less than 3

months, unless indicated otherwise in the disclosure.

Financial AssetsConsequently, financial assets can be classified as for

example assets held for trading, investments, due from

banks and due from customers.

The measurement and income recognition in the income

statement depend on the IFRS classification of the financial

assets, being: (a) cash and cash equivalents; (b) loans and

receivables; (c) held-to-maturity investments; (d) financial

assets at fair value through profit or loss and (e) available-

for-sale financial assets. This IFRS classification determines

the measurement and recognition as follows:

▶ Loans and receivables are initially measured at fair

value (including transaction costs) and subsequently

measured at amortised cost using the effective

interest method, with the periodic amortisation

recorded in the income statement.

▶ Held-to-maturity investments consist of instruments

with fixed or determinable payments and fixed

maturity for which the positive intention and ability to

hold to maturity is demonstrated. They are initially

measured at fair value (including transaction costs)

and subsequently measured at amortised cost using

the effective interest method, with the periodic

amortisation recorded in the income statement.

▶ Financial assets at fair value through profit or loss

include:

I financial assets held for trading, including derivative

instruments that do not qualify for hedge

accounting

II financial assets that ABN AMRO Clearing Bank N.V.

has irrevocably designated at initial recognition or

first-time adoption of IFRS as held at fair value

through profit or loss, because:

the host contract includes an embedded derivative

that would otherwise require separation;

it eliminates or significantly reduces a

measurement or recognition inconsistency

(‘accounting mismatch’);

it relates to a portfolio of financial assets and/or

liabilities that are managed and evaluated on a fair

value basis.

▶ Available-for-sale financial assets are those assets that

are otherwise not classified as loans and receivables,

held-to-maturity investments, or financial assets

designated at fair value through profit or loss.

Available-for-sale financial assets are initially measured

at fair value (including transaction costs), and are

subsequently measured at fair value with unrealised

gains or losses from fair value changes reported in

equity. For impaired available-for-sale assets, unrealised

24 Accounting policies

Rates at year end- Average rates

2011 2010 2011 2010

1 EURO =

Pound Sterling 0,84 0,86 0,86 0,86

Singapore Dollar 1,68 1,72 1,75 1,81

Japanese Yen 100,01 108,89 110,93 116,36

Hong Kong Dollar 10,09 10,40 10,84 10,30

Australian Dollar 1,27 1,32 1,35 1,44

US Dollar 1,30 1,34 1,39 1,33

losses previously recognised in equity are transferred

to the income statement when the impairment occurs.

Incurred but not identified defaults

Incurred but not identified (IBNI) impairments on loans

represents losses inherent in components of the non-

impaired portfolio that have not yet been specifically

identified.

The scope of the calculation of the IBNI impairments

covers all financial assets found not to be individually

impaired from the categories Loans and receivables –

banks, Loans and receivables – clients and Trade receivables.

All related off-balance items such as unused credit facilities

and credit commitments are also included.

The IBNI calculation combines the Basel II concept of

expected loss on a one-year time horizon with intrinsic

elements such as loss identification period (LIP), cycle

adjustment factor and expert views.

Above is in accordance with ABN AMRO Bank N.V.

policies.

Financial LiabilitiesFinancial liabilities are classified as liabilities held for trading,

due to banks, due to customers, debt certificates,

subordinated liabilities and other borrowings.

The measurement and recognition in the income statement

depends on the IFRS classification of the financial

liabilities being: (a) financial liabilities at fair value through

profit or loss, and (b) other financial liabilities. This IFRS

classification determines the measurement and recognition

in the income statement as follows:

a) Financial liabilities at fair value through profit or loss

include: (i) financial liabilities held for trading, including

derivative instruments that do not qualify for hedge

accounting, and (ii) financial liabilities that ABN AMRO

Clearing Bank N.V. has irrevocably designated at initial

recognition or first-time adoption of IFRS as held at

fair value through profit or loss.

b) Other financial liabilities are initially recognised at fair

value (including transaction costs), and subsequently

measured at amortised cost using the effective interest

method, with the periodic amortisation recorded in

the income statement.

Fair Value of Financial InstrumentsThe fair value of a financial instrument is determined based

on quoted prices in active markets. When quoted prices

in active markets are not available, valuation techniques

are used. Valuation techniques make maximum use of

market inputs but are affected by the assumptions used,

including discount rates and estimates of future cash flows.

Such techniques include market prices of comparable

investments, discounted cash flows, option pricing models

and market multiples valuation methods. In the rare case

where it is not possible to determine the fair value of a

financial instrument, it is accounted for at cost.

On initial recognition, the fair value of a financial instrument

is the transaction price, unless the fair value is evidenced

by observable current market transactions in the same

instrument, or is based on a valuation technique that

includes inputs only from observable markets.

The principal methods and assumptions used by ABN AMRO

Clearing Bank N.V. in determining the fair value of finan-

cial instruments are:

▶ Fair values for securities available for sale or at fair

value through profit or loss are determined using

market prices from active markets. If no quoted prices

are available from an active market, the fair value is

determined using discounted cash flow models.

Discount factors are based on the swap curve plus a

spread reflecting the characteristics of the instrument.

▶ Fair values for derivative financial instruments are

obtained from active markets or determined using, as

appropriate, discounted cash flow models and option

pricing models.

▶ Fair values for loans are determined using discounted

cash flow models based upon ABN AMRO Clearing

Bank N.V.’s current incremental lending rates for

similar type loans. For variable-rate loans that re-price

frequently and have no significant change in credit risk,

fair values are approximated by the carrying amount.

▶ Off-balance sheet commitments or guarantees are fair

valued based on fees currently charged to enter into

similar agreements, taking into account the remaining

terms of the agreements and the counterparties’

credit standings.

▶ For short-term payables and receivables, the carrying

amounts are considered to approximate fair values.

25

Measurement of Impaired AssetsAn asset is impaired when its carrying amount exceeds

its recoverable amount. ABN AMRO Clearing Bank N.V.

reviews all of its assets at each reporting date for objective

evidence of impairment.

The carrying amount of impaired assets is reduced

to the net present value of its estimated recoverable

amount and the amount of the change in the current

year provision is recognised in the income statement.

Recoveries, write-offs and reversals of impairment are

included in the income statement as part of change in

provisions for impairment.

If in a subsequent period, the amount of the impairment

on assets other than goodwill or available-for-sale equity

instruments decreases, due to an event occurring after

the write-down, the amount is reversed by adjusting

the provision account and is recognised in the income

statement.

Financial Assets

A financial asset (or group of financial assets) is impaired

if there is objective evidence of impairment as a result

of one or more events that occurred after the initial

recognition of the asset and that loss event (or events)

has an impact on the estimated future cash flows of the

financial asset (or group of financial assets) that can be

reliably estimated.

Depending on the type of financial asset, the recoverable

amount can be estimated as follows:

▶ the fair value using an observable market price;

▶ present value of expected future cash flows discounted

at the instrument’s original effective interest rate (for

financial assets carried at amotised cost); or

▶ based on the fair value of the collateral.

Impairment to available-for-sale equity instruments

cannot be reversed through the income statement in

subsequent periods.

Other Assets

For non-financial assets, the recoverable amount is

measured as the higher of the fair value less cost to

sell and the value in use. Fair value less cost to sell is

the amount obtainable from the sale of an asset in an

arm’s length transaction between knowledgeable, willing

parties, after deducting any direct incremental disposal

costs. Value in use is the present value of estimated future

cash flows expected to arise from continuing use of an

asset and from its disposal at the end of its useful life.

Due from Banks and due from Customers

A specific loan provision is established if there is objective

evidence that the ABN AMRO Clearing Bank N.V. will

not be able to collect all amounts due in accordance

with contractual terms. The amount of the provision

is the difference between the market-to-market of the

client position vis-à-vis the third party obligations of

the ABN AMRO Clearing Bank N.V. in its function as

a clearing member.

Impairments are recorded as a decrease in the carrying

value of due from banks and due from customers.

When a specific loan is identified as uncollectible and

all legal and procedural actions have been exhausted,

the loan is written off against the related charge for

impairment; subsequent recoveries are credited to

change in provisions for impairment in the income

statement.

Balance sheet items

Cash and Cash EquivalentsCash and cash equivalents comprise cash on hand,

freely available balances with central banks and other

non-derivative financial instruments with less than

three months maturity from the date of acquisition.

Cash Flow StatementABN AMRO Clearing Bank N.V. reports cash flows from

operating activities using the indirect method, whereby

the net result is adjusted for the effects of transactions

of a non-cash nature, any deferrals or accruals of past or

future operating cash receipts or payments, and items of

income or expense associated with investing or financing

cash flows.

Interest received and interest paid is presented as cash

flows from operating activities in the cash flow statement.

Dividends received are classified as cash flows from

operating activities. Dividends paid are classified as cash

flows from financing activities.

26 Accounting policies

Due from Banks and due from CustomersDue from banks and due from customers include loans

originated by ABN AMRO Clearing Bank N.V. by providing

money directly to the borrower or to a sub-participation agent.

Securities Borrowing and LendingSecurities borrowed and securities loaned transactions are

generally reported as collateralized financings. Securities

borrowed transactions require ABN AMRO Clearing

Bank N.V. to deposit cash and/or other collateral with the

lender. When loaning securities, ABN AMRO Clearing

Bank N.V. receives cash collateral generally in excess of the

market value of the securities loaned. ABN AMRO Clearing

Bank N.V. monitors the market value of securities borrowed

and loaned on a daily basis with additional collateral

obtained or refunded as necessary. Interest rates paid

on the cash collateral fluctuate with short-term interest

rates. Securities purchased under agreements to resell and

securities sold under agreements to repurchase, which are

short-term in nature, are treated as collateralized financing

transactions and are carried at the amounts at which the under-

lying securities will be subsequently resold or repurchased

as specified in the respective agreements. It is ABN AMRO

Clearing Bank N.V.’s policy to take possession of securities,

subject to resale agreements. The fair value of the securities

is determined daily and collateral added whenever necessary

to bring the market value of the underlying collateral equal

to or greater than the resale price specified in the contract.

Assets and Liabilities Held for TradingA financial asset or financial liability is classified as held

for trading if it is:

▶ acquired or incurred principally for the purpose of

selling or repurchasing it in the near term, or

▶ part of a portfolio of identified financial instruments

that are managed together and for which there is

evidence of a recent actual pattern of short-term

profit taking, or

▶ a derivative (except for a derivative that is a

designated and effective hedging instrument).

Assets and liabilities held for trading are initially recognised

and subsequently measured at fair value through profit

or loss. ABN AMRO Clearing Bank N.V. is principal in the

transactions between the client and the counterparty.

Counterparty risk is monitored by ABN AMRO Clearing

Bank N.V. risk management at ABN AMRO Bank N.V. level.

The (realised and unrealised) results are included in ‘Other

realised and unrealised gains and losses’. Interest received

(paid) on assets (liabilities) held for trading is reported as

interest income (expense). Dividends received are included

in ‘dividend and other investment income’.

Investments available for saleAvailable-for-sale investment securities are held at fair

value. Changes in the fair value are recognised directly

in the equity until the asset is sold unless the asset is

hedged by a derivative. If an investment is determined to

be impaired, the impairment is recognised in the income

statement. An investment is considered impaired if its car-

rying value exceeds the recoverable amount by an amount

considered significant or for a period considered prolonged.

For impaired available-for-sale investments, unrealised los-

ses previously recognised in the equity are transferred to

the income statement when the impairment occurs.

If, in a subsequent period, the fair value of a debt instrument

classified as available for sale increases and the increase

can be objectively related to an event occurring after the

impairment loss was recognised in the income statement,

the impairment loss is reversed, with the amount of the

reversal recognised in the income statement. Impairment

losses recognised in the income statement for an investment

in an equity instrument classified as available for sale are

not reversed through the income statement.

Available-for-sale investment securities that are hedged by

a derivative are carried at fair value through profit or loss.

Investments in associates and joint venturesAssociates are those enterprises in which ABN AMRO

Clearing Bank N.V. has significant influence (this is

generally assumed when ABN AMRO Clearing Bank N.V.

holds between 20% and 50% of the voting rights), but

not control, over the operating and financial policies.

Joint ventures are contractual agreements whereby

ABN AMRO Clearing Bank N.V. and other parties undertake

an economic activity that is subject to joint control.

Investments in associates and joint ventures are accounted

for using the ‘Net equity method’. Under this method the

investment is initially recorded at cost and subsequently

increased (or decreased) for post acquisition net income

(or loss), other movements impacting the equity of the

investee and any adjustments required for impairment.

27

Trade and Other ReceivablesTrade and other receivables arising from the normal

course of business and originated by ABN AMRO

Clearing Bank N.V. are initially recorded at fair value

and subsequently measured at amortised cost using

the effective interest method, less impairments.

Property and EquipmentFixed assets are stated at cost less accumulated

depreciation and any accumulated impairment losses.

Cost is the amount of cash or cash equivalents paid or

the fair value of the other consideration given to acquire

an asset at the time of its acquisition or construction.

Generally, depreciation is calculated on the straight-line

method to write down the cost of such assets to their

residual values over their estimated useful lives. The resi-

dual value and the useful life of property and equipment

is reviewed at each year-end.

Repairs and maintenance expenses are charged to the

income statement when the expenditure is incurred.

Expenditures that enhance or extend the benefits of

real estate or fixed assets beyond their original use are

capitalised and subsequently depreciated.

Useful life for property and equipment is between 5 and

25 years.

Intangible AssetsAn intangible asset is an identifiable non-monetary asset

and is recognised at cost if and only if it will generate

future economic benefits and if the cost of the asset can

be measured reliably.

Software

Software for computer hardware that cannot operate

without that specific software, such as the operating

system, is an integral part of the related hardware and

it is treated as property and equipment. If the software

is not an integral part of the related hardware, the costs

incurred during the development phase for which

ABN AMRO Clearing Bank N.V. can demonstrate all of the

above-mentioned criteria are capitalised as an intangible

asset and amortised using the straight-line method over

the estimated useful life. In general, such intangible assets

have an expected useful life of 5 years at most.

Other intangible assets

Other intangible assets include intangible assets with

definite lives, such as trademarks and licences that are

generally amortised over their useful lives using the

straight-line method.

Intangible assets with finite lives are reviewed at each

reporting date for indicators of impairment.

Derivative Financial Instruments and HedgingDerivatives are financial instruments such as swaps,

forward and future contracts and options (both written

and purchased). These financial instruments have values

that change in response to changes of various underlying

variables, require little or no net initial investment, and

are settled at a future date. All derivatives are recognised

on the balance sheet at fair value on the trade date as

Assets held for trading and Liabilities held for trading.

Subsequent changes in the clean fair value (i.e. excluding

the interest accruals) of derivatives are reported in the

income statement under ‘other realised and unrealised

gains and losses’.

Due to Banks and due to CustomersDue to banks and due to customers include deposits

and time deposits originated by clients.

Pension LiabilitiesIn the Netherlands the vast majority of the employees

participate in the pension plan of ABN AMRO Bank N.V.

The employees have a contract of employment directly

with ABN AMRO Bank N.V. with the exception of the

employees of the subsidiary European Multilateral

Clearing Facility N.V.

For employees outside the Netherlands, pension or other

retirement plans have been established in accordance

with the regulations and practices of the countries

in question. Separate pension funds or third parties

administer most of these plans. The plans include both

defined contribution plans and defined benefit plans. In

the case of defined contribution plans, contributions are

charged directly to the income statement in the year to

which they relate.

28 Accounting policies

The net obligations under defined benefit plans are

regarded as ABN AMRO Clearing’s own commitments

regardless of whether these are administered by a pension

fund or in some other manner. The net obligation of each

plan is determined as the difference between the present

value of the defined benefit obligations and the fair value of

plan assets, together with adjustments for unrecognised

past service costs.

Pension obligations

Defined benefit plan pension commitments are calculated

by independent actuaries in accordance with the projected

unit credit method of actuarial cost allocation. Under this

method, the present value of pension commitments is

determined on the basis of the number of active years of

service up to the balance sheet date and the estimated

employee salary at the time of the expected retirement

date, and is discounted using the market rate of interest

on high-quality corporate bonds.

Pension costs for the year are established at the beginning

of the year based on the expected service and interest

costs and the expected return on the plan assets, plus

the impact of any current period curtailments or plan

changes. Differences between the expected and the

actual return on plan assets, as well as actuarial gains

and losses, are only recognised as income or expense

when the net cumulative unrecognised actuarial gains

and losses at the end of the previous reporting year

exceed 10% of the greater of the commitments under

the plan and the fair value of the related plan assets. The

part in excess of 10% is recognised in income over the

expected remaining years of service of the employees

participating in the plans. Differences between the pension

costs determined in this way and the contributions

payable are accounted for as provisions or prepayments.

Commitments relating to early retirement of employees

are treated as pension commitments.

The impact of any plan amendment is broken down into

elements which relate to past service (for example, discount

rate) and elements which are dependent on future service

(such as the impact of future salary increases included

in the defined benefit obligation) having bifurcated the plan

amendment into mutually exclusive past and future service

elements, negative past service cost or curtailment accoun-

ting treatment is applied for the respective elements.

Net cumulative unrecognised actuarial gains and losses

for defined benefit plans exceeding the corridor (greater

than 10% of the present value of the defined benefit

obligation or 10% of the fair value of any plan assets) are

recognised in the income statement over the average

remaining services lives of the employees.

When the benefits of a plan are improved, the portion of

the increased benefit relating to past service by employees

is recognised as an expense in the income statement on

a straight-line basis over the average period until the

benefits become vested. To the extent that the benefits

vest immediately, the past service cost is recognised

immediately in the income statement.

Assets that support the pension liabilities of an entity

must meet certain criteria in order to be classified as

‘qualifying pension plan assets’. These criteria relate

to the fact that the assets should be legally separated

from its sponsor or its creditors. If these criteria are not

met, the assets are included in the relevant item on the

balance sheet (such as financial investments, property

and equipment).

If the assets meet the criteria, they are netted against

the pension liability. When the fair value of plan assets

is netted against the present value of the obligation of

a defined benefit plan, the resulting amount could be a

negative (an asset). In this case, the recognised asset

cannot exceed the total of any cumulative unrecognised

net actuarial losses and service costs and the present value

of any economic benefits available in the form of refunds

from the plan or reductions in future contributions to the plan.

Employee EntitlementsEmployee entitlements to annual leave and long-service

leave are recognised when they accrue to employees.

A provision is made for the estimated liability for annual

leave and long-service leave as a result of services

rendered by employees up to the balance sheet date.

ProvisionsProvisions are liabilities with uncertainties in the amount

or timing of payments. Provisions are recognised if there

is a present obligation to transfer economic benefits, such

as cash flows, as a result of past events and a reliable

estimate can be made at the balance sheet date. Provisions

are established for certain guarantee contracts for which

29

ABN AMRO Clearing Bank N.V. is responsible to pay upon

default of payment. Provisions are estimated based on all

relevant factors and information existing at the balance sheet

date, and typically are discounted at the risk-free rate.

Contingent Assets and LiabilitiesContingent assets and liabilities are those uncertainties

where an amount cannot be reasonably estimated or

when it is not probable that payment will be required to

settle the obligation.

Transactions with Related PartiesIn the normal course of business, the ABN AMRO Clearing

Bank N.V. enters into various transactions with related

companies. Parties are considered to be related if one

party has the ability to control or exercise significant

influence over the other party in making financial or

operating decisions. Within the context of these financial

statements related parties comprise of ABN AMRO

Bank N.V. and its group companies. The parent company

(ABN AMRO Bank N.V. ) does not charge ABN AMRO

Clearing Bank N.V. for centralised services in Amsterdam.

These services include staff, information technology

(e.g. hardware, software, computer specialists), facilities

(e.g. accommodation and cleaning) and corporate over-

head. Transactions are based on contractual agreements,

are effected on the basis of normal market conditions,

and relate mainly to funding, clearing, settlement and

securities borrowing. The amounts receivable or payable

to related companies are disclosed in the notes to the

financial statements.

Share Capital Incremental costs directly attributable to the issue of

new shares or share options, other than on a business

combination, are deducted from equity net of any related

income taxes.

Other Equity ComponentsOther elements recorded in the equity are related to:

▶ foreign currency;

▶ available-for-sale investments revaluations

Income Statement items

Interest Income and ExpenseInterest income and interest expense are recognised

in the income statement for all interest bearing instru-

ments (whether classified as available for sale, held

at fair value through profit or loss or derivatives) on an

accrual basis using the effective interest method based

on the actual purchase price including direct transaction

costs. Interest income includes coupons earned on fixed

and floating rate income instruments and the accretion

or amortisation of the discount or premium.

The Interest Income is a result of current account balances,

(exchange) margin and securities financing.

Once a financial asset has been written down to its esti-

mated recoverable amount, interest income is thereafter

recognised based on the effective interest rate that was

used to discount the future cash flows for the purpose

of measuring the recoverable amount.

Realised and Unrealised Gains and LossesFor financial instruments classified as available for sale, re-

alised gains or losses on sales and divestments represent

the difference between the proceeds received and the

initial book value of the asset or liability sold, minus any

impairment losses recognised in the income statement

after adjusting for the impact of any fair value hedge

accounting adjustments. Realised gains and losses on

sales are included in the income statement in the caption

realised capital gains (losses) on investments.

For financial instruments carried at fair value through pro-

fit or loss, the difference between the carrying value at

the end of the current reporting period and the previous

reporting period is included in other realised and unreali-

sed gains and losses.

For derivatives, the difference between the carrying

clean fair value (i.e. excluding the unrealised portion of

the interest accruals) at the end of the current reporting

period and the previous reporting period is included in

other realised and unrealised gains and losses.

30 Accounting policies

Previously recognised unrealised gains and losses

recorded directly into equity are transferred to the

income statement upon derecognition or upon the

financial asset becoming impaired.

Fees, Commission Income and Transaction CostsFees that are an integral part of the effective interest rate

of a financial instrument are generally treated as an

adjustment to the effective interest rate. This is the case for

origination fees, received as compensation for activities

such as evaluating the borrower’s financial condition,

evaluating and recording guarantees, etc., and also for

origination fees received on issuing financial liabilities

measured at amortised cost. Both types of fees are deferred

and recognised as an adjustment to the effective interest

rate. However, when the financial instrument is measured

at fair value through profit or loss, the fees are recognised

as revenue when the instrument is initially recognised.

Fees earned as services provided are generally recognised

as revenue as the services are provided. If it is unlikely that

a specific lending arrangement will be entered into and

the loan commitment is not considered as a derivative,

the commitment fee is recognised as revenue on a time

proportion basis over the commitment period.

Fees arising from negotiating, or participating in the

negotiation of a transaction for a third party, are recognised

upon completion of the underlying transaction.

Commission revenue is recognised when the performance

obligation is complete.

Transaction costs are included in the initial measurement of

financial assets and liabilities other than those measured

at fair value through profit or loss. Transaction costs refer

to incremental costs directly attributable to the acquisition

or disposal of a financial asset or liability. They include

fees and commissions paid to agents, advisers, brokers

and dealers levies by regulatory agencies and securities

exchanges, and transfer taxes and duties.

Income Tax ExpenseIncome tax payable on profits is recognised as an expense

based on the applicable tax laws in each jurisdiction in the

period in which profits arise. The tax effects of income tax

losses available for carry-forward are recognised as a deferred

tax asset if it is probable that future taxable profit will be

available against which those losses can be utilised.

Deferred tax is provided in full, using the balance sheet

liability method, on temporary differences arising between

the tax bases of assets and liabilities and their carrying

amounts in the consolidated financial statements.

The rates enacted or substantively enacted at the balance

sheet date are used to determine deferred taxes.

Deferred tax assets are recognised to the extent that it is

probable that sufficient future taxable profit will be available

to allow the benefit of part or the entire deferred tax asset

to be utilised.

Deferred tax liabilities are provided on taxable temporary

differences arising from investments in subsidiaries, except

where the timing of the reversal of the temporary difference

can be controlled and it is probable that the difference will

not reverse in the foreseeable future.

Current and deferred tax related to fair value re-measurement

of available-for-sale investments which are charged or credited

directly to the equity, is also credited or charged directly to

equity and is subsequently recognised in the income

statement together with the deferred gain or loss.

The Dutch operations of ABN AMRO Clearing N.V. form part

of a fiscal unity with ABN AMRO Group N.V. for corporate

income tax purposes. As a consequence, it receives a tax

allocation from the mother company. Such fiscal unity

is also in place for value added tax as well as wage tax

purposes. Abroad, the local operations form part of a

tax grouping when possible under local legislation.

Otherwise, it is seen as a separate taxpaying entity.

31

In its daily operational activities, ABN AMRO Clearing

Bank N.V. is confronted with various risks, the most

important of which are market, credit, operational and

information technology risks. Accurate identification and

control of these risks constitute an important part of

ABN AMRO Clearing Bank N.V. day-to-day operations.

The purpose of risk control is to optimise the relationship

between risk and return.

Market RiskMarket risk is the current or prospective impact on the

ABN AMRO Clearing Bank N.V.’s earnings and capital

resulting from fluctuation in market risk factors, which

include prices of securities, commodities and derivatives,

interest rates and exchange rates. Due to the nature of our

business, market and credit risk are strongly intertwined

and are therefore monitored simultaneously.

The ABN AMRO Clearing Bank N.V. encounters market risk

as a result of its main function as a third party clearing

member, being guarantor of its client positions towards

clearing houses, exchanges and other third parties. In order

to minimise the market risk a stringent set of policies

and procedures have been adopted to monitor the client

positions on a daily basis.

In principal ABN AMRO Clearing Bank N.V. is not engaged

in any proprietary trading. It operates at arm’s length of

ABN AMRO Bank N.V. and therefore provides a clearing

service as an independent market participant with its

focus on third parties. Being a guarantor towards exchanges

and clearing houses for our clients, requires us to have

market risk systems and controls in place.

ABN AMRO Clearing Bank N.V. operates a Risk Manage-

ment department, which monitors the value of collateral

pledged to ABN AMRO Clearing Bank N.V., worst case

scenarios by which the value of collateral may change

and outstanding credit and margin limits on a daily basis

as part of the management of credit risks and market risks.

Moreover, the exposure of liquidity risk for ABN AMRO

Clearing Bank N.V. as such is minimal as ABN AMRO

Bank N.V. has committed to providing immediate and

sufficient access to funds.

Owing to the nature of ABN AMRO Clearing’s activities,

its financial assets and liabilities are generally of a short-

term nature. Consequently, the book values do not differ

materially from the market values. Since the terms and

interest rates for the invested and drawn-down monies

are virtually identical, the interest rate and liquidity risks

are limited.

In terms of measurement of the price risk encountered by

the clients of AACB N.V., the risk management system is

based on the internally developed methodology named

Correlation Haircut (CoH) and the external systems TIMS1

and/or SPAN2.

Client positions are primarily monitored on the mark to

market value of the total position in comparison to the

maximum theoretical loss of the portfolio this maximum

theoretical loss is calculated by CoH. In the case of a

violation, a client is requested to deposit additional

collateral and/or reduce the risk in their portfolio (i.e. net

liquidation balance vs. CoH figure). Ultimately, in case of

a default, the portfolio of the client will be taken over by

AACB N.V.

CoH is a risk system that calculates the market risk of

clients on a daily basis after batch processing and real time

based on intraday positions and intraday market prices.

CoH not only takes price and volatility movements into

account, but also other risk factors as dividends, time value

and interest payments. Most significantly the correlations

between the different products in the portfolio of the

client are taken into account by means of a statistical

model (principal component analysis). On a daily (batch)

1 Theoretical Intermarket Margin System2 Standard analysis of Risk. SPAN is based on a sophisticated set of algorithms that determine margin according to a global (total portfolio) assessment of the one day risk for a trader’s account.

risk management

32

33

and intraday basis stress calculations are performed, the

overall haircut figure is the summation of the worst case

scenarios of the four product groups (Equity, Commodity,

Currency and Fixed Income). It is within each product group

that we take into account correlation offset between

products.

In addition to the net liquidation balance vs. CoH limit the

client positions are monitored on the following parameters:

credit and margin usage, long premium, liquidity risk,

concentration risk and extreme stress scenarios.

The extreme stress scenarios analyse price movements

in extreme market conditions. In these calculations, prices or

yields are stressed simultaneously. Based on the outcome

of these tests the risk managers judge whether the client

has to be contacted or not, and what course of action is

necessary. The outcome of the risk management process

is recorded for management in the daily report that is

distributed within AACB N.V.

Credit RiskCredit risk is the current or prospective impact on the

earnings and capital of ABN AMRO Clearing as a result

of clients and / or counterparties failure to meet with a

financial or other contractual obligation. Credit risk arises

as a result of ABN AMRO Clearing’s normal business

operations and is strongly intertwined to market risk.

Credit risk is monitored daily as part of our risk manage-

ment policies and procedures. In principle, credit risk

only arises if a client has an increased market risk due

to violation of net liquidation balance vs. CoH figure. At

all other times the value of collateral or margin held by

AACB N.V. should exceed the client’s current liabilities.

ABN AMRO Clearing uses appropriate instruments, policies

and processes to manage credit risk. These include

maintenance of a fully independent credit approval and

review process with set creditworthiness limits and

oversight procedures.

Impairment for specific credit risk is established if there

is objective evidence that ABN AMRO Clearing will not

be able to collect all amounts due in accordance with its

contractual terms. The amount of the provision is the dif-

ference between the mark-to-market of the client position

compared to the third party obligations of ABN AMRO

Clearing in its function as a clearing member for the client.

Total outstanding client credit facilities, excluding ABN AMRO

Group companies, including utilisation are as follows:

Based on the above described risk framework and

measures taken, it is noted that client positions are fully

collateralized during the year.

In 2011 ABN AMRO Clearing Bank N.V. had an average

default rate of 0,00 bps on the overall outstanding credit

lines of € 22,9bn (2010: 0,16 bps).

Fair Value Hierarchy

The financial instruments carried at fair value have been

categorized under the three levels of the IFRS fair value

hierarchy as follows:

▶ Quoted prices in active markets (Level 1);

▶ Valuation Techniques with observable market data

(Level 2);

▶ Valuation Techniques with significant unobservable

market data (Level 3).

€ billion 2011 2010 2009 2008

Total outstanding client credit facilities 22,9 19,9 17,7 15,0

Total utilisation 6,5 7,1 5,1 2,5

Total debit cash utilisation 3,0 3,8 2,9 1,4

Total short stock utilisation 3,5 3,3 2,2 1,1

The following table presents the carrying value of the financial instruments held at fair value across the three levels of the fair value hierarchy.

Liquidity RiskThe liquidity risk concerns the risk that the bank will be

unable to meet its financial obligations on time. The basic

approach to managing the liquidity risk is to ensure that

adequate liquidities are available to meet the financial

obligations in both normal and difficult circumstances.

The operating systems and departments notify ABN AMRO

Clearing Bank’s Treasury on a daily basis concerning inward

and outward flows of funds, financial assets and liabilities

shortly falling due and requirements for collateral lodged

with clearing institutions and central banks to facilitate

settlement and payment processes on behalf of clients.

Using this information, Treasury department keeps a

day-to-day watch on the banks liquidity position and

ensures that sufficient collateral is on deposit. This daily

liquidity position is sent to ABN AMRO’s Asset & Liability

Management on a daily basis.

As a result of this tight control and the processes in

place within the Group to ensure that liquidity is available

when required, exposure on liquidity risk is judged to be

minimal.

The overall liquidity position is reported on a monthly

basis by ABN AMRO Bank N.V. in cooperation with

ABN AMRO Clearing Bank N.V. to De Nederlandsche Bank.

(x € 1.000)

At 31 December 2011

Quoted prices in active market

Valuation technique observable

market data

Valuation technique unobservable

market data

Total

Financial assets held at fair value

Trading assets - 3.622 - 3.622

Investments available for sale 31.188 19.034 - 50.222

Total financial assets held at fair value 31.188 22.656 - 53.844

Financial liabilities held at fair value

Trading liabilities 1.744 3.622 - 5.366

(x € 1.000)

At 31 December 2010

Quoted prices in active market

Valuation technique observable

market data

Valuation technique unobservable

market data Total

Financial assets held at fair value

Trading assets 52 4.985 - 5.037

Investments available for sale 31.757 17.397 - 49.154

Total financial assets held at fair value 31.809 22.382 - 54.191

Financial liabilities held at fair value

Trading liabilities 7.809 4.985 - 12.794

34 Risk Management

35

Liquidity sensitivity gapsThe table below shows ABN AMRO Clearing Bank N.V.’s

assets and liabilities classified into relevant maturity

groupings based on the remaining period to the contractual

maturity date. The liquidity gap of € (69.313) is relating

to intercompany term loans. Operationally ABN AMRO

Clearing Bank N.V. has sufficient access to liquidity to

cover normal course of business.

Operational RiskOperational risk is the risk of loss resulting from inade-

quate or failed internal processes or systems, human

error, external events.

Operational risk is monitored and controlled by two

complementary departments. First, operational risk

is dealt with by the Business Control/Enterprise Risk

Management Function (Business Control/ERM). This

function monitors and manages operational risk, including

enterprise risk, internal controls and operational incident

(loss/profit) collection etc. The Business Control Function/

ERM initiates and coordinates the implementation

of risk-reducing, mitigating actions as decided by the

management of ABN AMRO Clearing Bank N.V. involved.

Key risk indicators are used to monitor the level of risk

control. This function is also responsible for Business

Continuity Management and Information Security

Management.

Secondly, the Operational Risk Department within

ABN AMRO Risk Management performs reviews of the

Operational Risk profile of ABN AMRO Clearing Bank

N.V. based on the Advanced Measurement Approach

(AMA) criteria in accordance with Basel II. Although

ex-Fortis Bank Netherlands was AMA compliant, the

Dutch Central Bank (DNB) did not approve the AMA

methodology for the new combined bank. Awaiting the

new AMA framework (currently being developed by

ABN AMRO Risk Management) and its approval by

the DNB, the ABN AMRO Operational Risk department

(x € 1.000)

At 31 December 2011 0-3 months 3-12 months 1-5 years Total

Assets

Fixed rate financial instruments 5.943.549 674.219 - 6.617.768

Variable rate financial instruments 103.611.793 - - 13.611.793

Non-interest bearing financial instruments 1.803.489 248 376 1.804.113

Non-financial assets 81.776 - - 81.776

Total Assets 21.440.607 674.467 376 22.115.450

Liabilities

Fixed rate financial instruments 16.846.645 705.602 - 17.552.247

Variable rate financial instruments 2.969.029 37.930 - 3.006.959

Non-interest bearing financial instruments 4.742 248 376 5.366

Non-financial liabilities 786.120 - - 786.120

Total Liabilities 20.606.536 743.780 376 21.350.692

Net liquidity gap 834.071 (69.313) - 764.758

Information Security Management

As a financial services provider, information is of critical

importance to ABN AMRO Clearing Bank N.V. The clearing

business is knowledge and information intensive enter-

prise and the confidentiality, integrity and availability of

information is crucial. In order to effectively manage the

threats and risks an information security management

system has been implemented for all ABN AMRO Clearing

Bank N.V. locations. Effectiveness of this plan is reported

on a quarterly base in our Enterprise Risk Management

reporting to our Global Management Team at the ERM

committee. Where necessary, improvements are addressed

in action plans to increase the level of control over

implemented controls.

Information Technology risk

In order to limit business risks related to the usage of infor-

mation technology (IT) to a minimum, several measures of

internal control have been implemented, such as deploying

an own Business Support department, being the intermediary

between AMRO Clearing Bank N.V.’s users and its IT

development and Business Development department,

being engaged with long term development and planning.

Moreover ABN AMRO Clearing Bank N.V. has incorporated

internal controls to guarantee the accuracy and comple-

teness of data processing.

Foreign exchange riskDue to the activities of ABN AMRO Clearing in London,

Singapore, Japan, Hong Kong, Sydney and Chicago

foreign exchange risk is born on the net working capital

of London Branch and the equity of Singapore, Japan,

Hong Kong, Sydney and Chicago subsidiaries. Entering

into foreign currency transactions with related parties

economically mitigates this foreign exchange risk for

ABN AMRO Clearing Bank N.V.

ABN AMRO Bank N.V. has committed to providing

immediate and sufficient access to funds. The liquidity

management department will calculate its intra-day and

overnight cash position using internal cash forecasting

systems. As ABN AMRO Clearing Bank N.V. will have

immediate access to funds when required based on the

Master Clearing Agreement and all borrowings are made in

matching currency the foreign exchange risk on funding will

be minimal.

The foreign exchange risk that is born as a result of day-to

will continue applying the current AMA methodolgy

for economic capital calculation and The Standardised

Approach for regulatory capital calculation. They also

perform yearly Risk Self Assessments of the ABN AMRO

Clearing Bank N.V. business to inform the management

team of ABN AMRO Clearing Bank N.V. ’s risk profile.

ABN AMRO Clearing Bank N.V. is fully compliant with the

current ABN AMRO Advanced Measurement Approach.

ABN AMRO Clearing Bank N.V. is subject to an annual

Strategic Risk Self Assessment workshop (SRA) where

ABN AMRO Clearing Bank N.V.’s management and Risk

representatives discussed the risks to the realisation of

ABN AMRO Clearing Bank N.V.’s strategic objectives.

Follow up is monitored by the Operational Risk Department

and Business Control/ERM.

Internal Control

Operational risk management is promoted through the

ABN AMRO Clearing Bank N.V. internal control arrange-

ments. Procedures and work instructions are in place

to safeguard a controlled operational environment. The

organisational structure of ABN AMRO Clearing Bank N.V.

ensures a separation of duties, clearly defined powers

and the allocation of responsibilities, including powers of

representation.

Business continuity management

Business Continuity Management (BCM) provides a

framework to respond to all possible crises endangering

the continuity of business activities, BCM is embedded

throughout ABN AMRO Clearing Bank N.V. and ABN AMRO

Clearing Bank N.V. complies with ABN AMRO BCM policies

and procedures.

Business Continuity Plans (BCP) are in place for each

individual ABN AMRO Clearing Bank N.V. site with the goal

to limit the impact of unexpected events on the continuity

of services. The BCP describes the procedures to be

followed in order to maintain critical activities of the bank

in the event of an emergency that leads to the loss of one

of our critical products/services or systems.

On a continuous basis, training is provided to Business

Crisis Team members. Existing staff members are obligated

to participate in BCP awareness sessions and receive BCP

up-dates. New staff members, receive the BCP awareness

session during their introduction program.

36 Risk Management

37

day operating activities is mitigated by entering into foreign

currency transactions with other ABN AMRO Group com-

panies. As a result of the foreign currency transactions,

the net position in foreign currency is nil.

Net Investment HedgeIn previous years the total equity (share capital, retained

earnings and result of the year) in foreign currency was

hedged by a short position of the same amount in the

same currency on a monthly basis to offset foreign

exchange risk. The offset ratio is the ratio of ytd revaluation

of hedging instrument (short position) divided by the

revaluation of the participation (total equity). To be effective

the offset ratio had to be between 80% and 125%. In case

of effectiveness the result regarding the hedging instrument

(short position) was transferred to a FX Translation reserve

within the Unrealised gains and losses of the equity in the

consolidated balance sheet. As of 2011 ABN AMRO Bank N.V.

decided to change this methodology from ABN AMRO

Clearing Bank N.V. level to ABN AMRO Bank N.V. level.

Management of capital requirementsOn a stand alone basis ABN AMRO Clearing Bank N.V.

meets the minimum capital and regulatory solvency

requirements. The 403 declaration deposited by

ABN AMRO Group N.V. safeguards the going concern

basis of ABN AMRO Clearing Bank N.V..

The regulatory capital position is calculated and

managed on ABN AMRO Bank N.V. level.

On the level of ABN AMRO Clearing Bank N.V. the following capital

amounts and ratio’s are applicable:

(x € 1.000)

Capital 31-12-2011 31-12-2010

IFRS equity 759.329 643.255

Tier 1 capital 696.198 633.548

Regulatory capital 751.565 641.483

Risk Weighted Assets 5.599.534 5.075.890

Core tier 1 ratio 13,32% 12,55%

Tier 1 ratio 12,43% 12,48%

Total capital ratio 13,42% 12,64%

geographical information

ABN AMRO Clearing’s reporting reflects the gross

economic contribution of the geographical areas within the

business operations of ABN AMRO Clearing. Geographical

information is prepared based on the same accounting

policies as those used in preparing and presenting

ABN AMRO Clearing’s consolidated financial statements.

Transactions between the different geographical areas

are executed under standard commercial terms and

conditions.

The negative asset amounts are caused by revaluations

and consolidation eliminations.

Geographical information of the consolidated balance sheet

38

39

(x € 1.000) 2011

IncomeNether-

landsGreat

Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total

Interest income 176.350 8.924 72 9 6.984 9 3.534 21.098 24.702 241.682

Interest expense (147.771) (3.878) - (31) (3.940) (217) (2.239) (13.374) (12.504) (183.954)

Net interest income 28.579 5.046 72 (22) 3.044 (208) 1.295 7.724 12.198 57.728

Commission and fee income 111.948 25.641 20.746 8.441 22.324 14.996 452.900 656.996

Commission and fee expenses (24.850) (1.318) (3) (14.008) (2.800) (1.435) (3.314) (420.833) (468.561)

Net commissions and fees 87.098 24.323 (3) - 6.738 5.641 20.889 11.682 32.067 188.435

Dividend an other Investment Income 404 111 - - - - - - 76 591

Realised capital gains on investments 11.439 8.663 - - 2 - (131) - 6 19.979

Other (un) realised gains and losses 140 - - - (28) 102 27 43 (26) 258

Other income 27 877 62 - 2 390 - 23 945 2.326

Total income 127.687 39.020 131 (22) 9.758 5.925 22.080 19.472 45.266 269.317

Change in provision for impairment 1.131 11 - - 24 32 215 17 189 1.619

Net revenues 128.818 39.031 131 (22) 9.782 5.957 22.295 19.489 45.455 270.936

Expenses

Personnel expenses (3.290) (11.512) (3.495) (1.815) (3.149) (1.947) (2.570) (5.144) (15.411) (48.333)

Depreciation and amortisation of intangible assets (742) (2.278) (193) (22) (365) (324) (464) (785) (1.856) (7.029)

General and administrative expenses (21.804) (13.242) 4.108 2.086 (3.141) (5.715) (3.419) (3.529) (13.256) (57.912)

Total expenses (25.836) (27.032) 420 249 (6.655) (7.986) (6.453) (9.458) (30.523) (113.274)

Result before taxation 102.982 11.999 551 227 3.127 (2.029) 15.842 10.031 14.932 157.662

Taxation (33.644) (1.710) (257) (77) (552) (9) (2.368) (3.128) - (41.745)

Result before minority interest 69.338 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 115.917

Non-Controlling Interests (1.200) - - - - - - - - (1.200)

Net profit 68.138 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 114.717

Geographical information of the income statement

Geographical income 2011

■ Europe■ Asia■ America

■ Europe■ Asia■ America

63%

21%16%

80%

6%14%

Geographical income 2010

Geographical information of the income statement

■ Europe■ Asia■ America

■ Europe■ Asia■ America

62%

20%18%

80%

6%14%

40 Geographical information

(x € 1.000) 2010

IncomeNether-

landsGreat

Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total

Interest income 168.172 10.351 378 1 4.826 14 2.856 18.662 22.061 227.321

Interest expense (149.191) 2.513 (75) (11) (2.297) (84) (1.366) (10.056) (11.937) (172.504)

Net interest income 18.981 12.864 303 (10) 2.529 (70) 1.490 8.606 10.124 54.817

Commission and fee income 104.541 150.705 - - 16.907 4.088 17.900 10.708 298.478 603.327

Commission and fee expenses (16.668) (133.622) (36) (2) (11.169) (2.890) (1.377) (699) (268.772) (435.235)

Net commissions and fees 87.873 17.083 (36) (2) 5.738 1.198 16.523 10.009 29.706 168.092

Dividend an other Investment Income 681 112 - - - - - - 125 918

Realised capital gains on investments - - - - 1 - - - 63 64

Other (un)realised gains and losses (553) 74 (13) - 53 (4) (1) (204) 23 (625)

Other income 125 1.800 178 - - 116 - 9 302 2.530

Total income 107.107 31.933 432 (12) 8.321 1.240 18.012 18.420 40.343 225.796

Change in provision for impairment 1.590 (11) - - 104 (42) 29 459 56 2.185

Net revenues 108.697 31.922 432 (12) 8.425 1.198 18.041 18.879 40.399 227.981

Expenses

Personnel expenses (1.316) (10.605) (3.456) (1.888) (2.509) (1.560) (1.860) (4.832) (15.315) (43.341)

Depreciation and amortisation of (in)tangible assets (169) (1.557) (182) (21) (406) (243) (559) (726) (1.519) (5.382)

General and administrative expenses (22.088) (15.223) 4.238 2.205 (3.697) (6.680) (2.911) (2.891) (11.819) (58.866)

Total expenses (23.573) (27.385) 600 296 (6.612) (8.483) (5.330) (8.449) (28.653) (107.589)

Result before taxation 85.124 4.537 1.032 284 1.813 (7.285) 12.711 10.430 11.746 120.392

Taxation (28.625) (1.513) (545) (106) (358) (24) (1.151) (3.303) 94 (35.531)

Result before minority interest 56.499 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 84.861

Non-Controlling Interests (2.390) - - - - - - - - (2.390)

Net profit 54.109 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 82.471

Geographical information of the consolidated balance sheet

41

(x € 1.000) 31 December 2011

AssetsNether-

landsGreat

Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total

Cash and cash equivalents 2.477.585 64.282 460 2.474 87.041 55.837 355.437 390.097 327.084 3.760.297

Short term deposits 37.930 - - - - - - - - 37.930

Loans and receivables - banks 3.511.414 (2) - - 1.424 2.765 (5) (23) 352.673 3.868.246

Loans and receivables - customers 8.301.783 235.251 12 - 825.025 - 227.167 239.038 2.734.812 12.563.088

Financial assets held for trading 3.622 - - - - - - - - 3.622

Investments available for sale 4.875 7.934 - - 31.188 - - - 6.225 50.222

Participated interest in group companies 271.267 - - - (1.901) (32.773) (41.845) (77.852) (116.896) -

Trade and other receivables 172.775 634.012 - - 419.538 102.537 252.593 112.200 56.614 1.750.269

Property and equipment 972 5.235 444 47 616 2.307 420 1.848 3.648 15.537

Intangible assets 830 - 29 5 40 87 25 112 1.427 2.555

Current Tax assets 1.651 - 196 46 - - - 911 - 2.804

Deferred tax assets 11.000 - - - - - - 1.817 - 12.817

Other assets 22.542 7.091 250 866 2.315 1.801 539 8.803 3.856 48.063

Total assets 14.818.246 953.803 1.391 3.438 1.365.286 132.561 794.331 676.951 3.369.443 22.115.450

Liabilities

Due to banks 14.932.364 39.446 5.109 - 69.761 - 1.040 287.909 16.520 15.352.149

Due to customers 1.144.944 579.757 - - 416.875 - 482.544 173.898 2.409.039 5.207.057

Financial liabilities held for trading 5.366 - - - - - - - - 5.366

Current tax liabilities 24.310 1.604 - - 719 - 931 - - 27.564

Deferred tax liabilities - 1.098 - - - - - - - 1.098

Accrued interest, expenses and other liabilities (1.974.284) 318.169 (4.012) 3.288 874.125 138.198 267.479 221.314 905.001 749.278

Provisions 18 - - - - - - 8.162 - 8.180

Total liabilities 14.132.718 940.074 1.097 3.288 1.361.480 138.198 751.994 691.283 3.330.560 21.350.692

Equity

Share capital 15.000 - - - - - - - - 15.000

Share premium 250 - - - - - - - - 250

Retained earnings 636.905 - - - 506 (14.662) 20.785 (38.631) 14.966 619.869

Unrealised gains and losses AFS - 3.045 - - - - - - (962) 2.083

Unrealised gains and losses currency result 5.679 395 - - 725 11.063 8.078 17.396 9.947 53.283

Unrealised gains and losses other (45.873) - - - - - - - - (45.873)

Result of the year 68.138 10.289 294 150 2.575 (2.038) 13.474 6.903 14.932 114.717

Equity attributable by the parent 680.099 13.729 294 150 3.806 (5.637) 42.337 (14.332) 38.883 759.329

Non-Controlling Interests 5.429 - - - - - - - - 5.429

Total Equity 685.528 13.729 294 150 3.806 (5.637) 42.337 (14.332) 38.883 764.758

Total Liabilities and Equity 14.818.246 953.803 1.391 3.438 1.365.286 132.561 794.331 676.951 3.369.443 22.115.450

42 Geographical information

Geographical information of the consolidated balance sheet

(x € 1.000) 31 December 2011

AssetsNether-

landsGreat

Britain Germany Belgium Singapore Japan Hong Kong AustraliaUnited States Total

Cash and cash equivalents 3.384.034 37.294 785 1.674 15.593 15.983 290.629 256.262 279.189 4.281.443

Loans and receivables - banks 2.912.199 (14) - - 2.974 3.553 (229) (39) 1.447.061 4.365.505

Loans and receivables - customers 7.365.687 349.473 12 - 338.740 - 146.545 427.133 735.809 9.363.399

Financial assets held for trading 5.037 - - - - - - - - 5.037

Investments available for sale 3.000 17.019 - - 22.716 - - - 6.419 49.154

Participated interest in group companies 271.267 - - - (1.901) (32.773) (41.845) (77.852) (116.896) -

Trade and other receivables 91.739 402.278 85 - 314.898 36.559 143.843 1.881 40.340 1.031.623

Property and equipment 1.226 3.249 431 57 477 1.130 694 1.240 3.133 11.637

Intangible assets 792 - 33 17 98 130 69 148 219 1.506

Current Tax assets 92 - 36 20 - - - - - 148

Deferred tax assets 126 - - - - - - 1.316 235 1.677

Other assets 66.318 3.324 358 1.759 881 2.202 549 387 3.390 79.168

Total assets 14.101.517 812.623 1.740 3.527 694.476 26.784 540.255 610.476 2.398.899 19.190.297

Liabilities

Due to banks 13.229.191 89.645 5.012 - - - 726 3.394 - 13.327.968

Due to customers 1.276.188 629.438 - - 322.318 2.991 335.879 221.197 1.590.738 4.378.749

Financial liabilities held for trading 12.794 - - - - - - - - 12.794

Current tax liabilities 5.840 4.898 - - 369 17 1.676 423 - 13.223

Deferred tax liabilities - 3.674 - - - - - - - 3.674

Accrued interest, expenses and other liabilities (998.850) 72.511 (3.759) 3.349 367.857 29.549 176.238 367.764 788.701 803.360

Provisions 7 - - - - - - 3.037 - 3.044

Total liabilities 13.525.170 800.166 1.253 3.349 690.544 32.557 514.519 595.815 2.379.439 18.542.812

Equity

Share capital 15.000 - - - - - - - - 15.000

Retained earnings 541.506 - - - 1.769 (7.353) 9.224 (10.666) 3.127 537.607

Unrealised gains and losses AFS - 9.446 - - - - - - (320) 9.126

Unrealised gains and losses currency result 5.679 (13) - - 708 8.889 4.952 18.200 4.813 43.228

Unrealised gains and losses other (44.177) - - - - - - - - (44.177)

Result of the year 54.109 3.024 487 178 1.455 (7.309) 11.560 7.127 11.840 82.471

Equity attributable by the parent 572.117 12.457 487 178 3.932 (5.773) 25.736 14.661 19.460 643.255

Non-Controlling Interests 4.230 - - - - - - - - 4.230

Total Equity 576.347 12.457 487 178 3.932 (5.773) 25.736 14.661 19.460 647.485

Total Liabilities and Equity 14.101.517 812.623 1.740 3.527 694.476 26.784 540.255 610.476 2.398.899 19.190.297

43

Notes to the income statement for the year 2011

(x € 1.000) 2011 2010

1. Net interest income 57.728 54.817

This item includes interest income and interest expense from banks and customers.

Interest income 241.682 227.321

Interest expense (183.954) (172.504)

Net interest income 57.728 54.817

Of the Interest income item the following amounts were with:

Interest income ABN AMRO Group companies 95.221 102.407

Interest income third party customers/banks 146.461 124.914

Total interest income 241.682 227.321

Interest expense ABN AMRO Group companies (138.173) (131.103)

Interest expense third party customers/banks (45.781) (41.401)

Total interest expense (183.954) (172.504)

2. Net commissions and fees 188.435 168.092

The commissions and fees item can be broken down as follows:

Commission income 656.996 603.327

Commission expense (468.561) (435.235)

Net commissions and fees 188.435 168.092

The components of net fee and commission are:

Net commissions payment services (443) (837)

Net commissions securities 180.377 169.601

Net commissions other 8.501 (672)

Net commissions and fees 188.435 168.092

Of the net commissions and fees item the following amounts were with:

Net commissions and fees ABN AMRO Group companies (17.478) (13.785)

Net commissions and fees third party customers/banks 205.913 181.877

Net commissions and fees 188.435 168.092

44 Notes to the income statement for the year 2011

2011 2010

3. Dividend and other investment income 591 918

This item consist of dividends received relating to the investments available for sale.

4. Realised capital gains on investments 19.979 64

The item of 2011 consist mainly the sale of shares by subsidiary ABN AMRO Clearing London Branch (€ 8.663) and a realised gain on foreign currency translations concerning the subsidiaries (€ 11.440).

5. Other unrealised gains and losses 258 (625)

This item consists mainly of foreign exchange differences on monetary items and other trading assets and hedge ineffectiveness relating to the net investment.

This item can be specified as follows:

Foreign exchange differences 258 (751)

Hedge ineffectiveness - (325)

fair value difference derivatives - 451

Other unrealised gains and losses 258 (625)

6. Other income 2.326 2.530

This item consists the Non-recurring income relating to operational activities

7. Change in provisions for impairment 1.619 2.185

For details on the impairments we refer to the Due from customers and due from banks items in the balance sheet.

In 2011 a part of loans written off in 2007 was recovered in the amount of 988 (x € 1.000) in relation to a debt recovery agreement.

8. Personnel expenses (48.333) (43.341)

Staff expenses are specified as follows:

Salaries and wages (38.714) (35.032)

Social security charges (4.377) (3.799)

Pension expenses (2.478) (1.467)

Other (2.764) (3.043)

Personnel expenses (48.333) (43.341)

The pension expenses relate to the defined contribution plan of the subsidiaries and the defined benefit plan in Frankfurt and EMCF.

The remuneration to the Board of Directors in 2011 was nil (2010: nil). Also the remuneration to Supervisory Board members in 2011 was nil (2010: nil). Members of the ABN AMRO Clearing Bank N.V. Board of Directors participate in the remuneration and bonus scheme operated by ABN AMRO Bank N.V.

45

2011 2010

The average number of FTEs related to staff expenses:  

Netherlands -* -*

United Kingdom 95 90

Germany 29 29

Belgium 11 11

Singapore 29 26

Japan 11 8

Australia 42 38

Hong Kong 21 16

United States 159 137

Total 397 355

* The majority off the employees of the Netherlands have a contract with ABN AMRO Bank N.V. Therefore they are not included in the schedule above.

The parent company does not charge ABN AMRO Clearing Bank N.V. for salary expenses in Amsterdam. The total amount is € 25,5 million before tax (after tax € 19,1 million). In 2010 the comparable amount was € 18,9 million before tax (after tax € 14,2 million). As of 2012 these expenses will be charged to AACB and therefore be fully incorparated.

9. Depreciation and amortisation of (in)tangible assets (7.029) (5.382)

This item refers to the depreciation and amortisation of equipment and software in Germany, Singapore, Japan, Hong Kong, Australia and United States.

Leasehold improvements – depreciation (422) (294)

Equipment – depreciation (318) (246)

IT equipment – depreciation (5.223) (4.090)

Purchased software - Amortisation (1.066) (752)

Depreciation and amortisation expenses (7.029) (5.382)

10. General and administrative expenses (57.912) (58.866)

Other general and administrative expenses can be broken down as follows:

Rental expenses and related expenses (5.134) (5.775)

Technology and system costs (12.251) (13.534)

Professional fees (13.023) (14.038)

Traveling expenses (2.215) (2.122)

Recharges from ABN AMRO Clearing Group companies * (14.333) (13.080)

Other (10.956) (10.317)

General and administrative expenses (57.912) (58.866)

* Centralised services e.g. information technology, facilities and corporate overhead

46

2011 2010

The parent company does not charge ABN AMRO Clearing Bank N.V. for operating expenses and centralised services in Amsterdam. The total amount is € 25,3 million before tax (after tax € 19,0 million). The comparable amount of 2010 was € 38,5 million before tax (after tax € 28,9 million). The services include information technology (e.g. hardware, software, computer specialists), facilities and corporate overhead. As of 2012 these expenses will be charged to AACB and therefore be fully incorporated.

11. Taxation (41.745) (35.531)

The details of the current and deferred income tax expense are presented below:

Current tax (53.042) (35.872)

Deferred tax 11.297* 341

Total income tax expenses (41.745) (35.531)

* An amount of € 10,7 million of the deferred tax is caused by the change in the methodology of the NIH.

Below is a reconciliation of the expected income tax expense to the actual income tax expense. The expected income tax expense has been determined by relating the profit before tax to the weighted average rate between branches and subsidiaries.

Profit before taxation 157.662 120.392

Weighted applicable tax rate 25,85% 27,34%

Expected income tax expense 40.756 32.914

Decrease in taxes resulting from:

Adjustments for current tax of prior period 887* 2.630

Other 102 (13)

Actual income tax expenses 41.745 35.531

* The adjustment relates mainly to an incorrect applied exemption for subsidiaries on recieved cash dividend in 2010.

Effective tax rate 26,48% 29,51%

12. Non-Controlling Interests - -

This item consists of the net profit attributable to minority Interest, relating to the subsidiary European Multilateral Clearing Facility N.V., of which 22% is held by a third party and 1% is held by ABN AMRO Bank N.V.

Notes to the income statement for the year 2011

47

notes to the consolidated balance sheet as at 31 december 2011

(x € 1.000)

ASSETS 2011 2010

13. Cash and cash equivalents 3.760.297 4.281.443

All cash and cash equivalents are available for use in ABN AMRO Clearing Bank N.V. day-to day operations.

Of the cash and cash equivalents the following amounts were due from:

ABN AMRO Group companies 2.220.287 2.950.396

Third parties 1.540.010 1.331.047

Total Cash and cash equivalents 3.760.297 4.281.443

14. Short term deposits 37.930 -

The short term deposits has a maturity of more than 3 months but no longer than 12 months.

15. Loans and receivables - banks 3.868.246 4.365.505

This item includes all accounts receivable from credit institutions and central banks that relate to business operations and do not belong to cash and cash equivalents or Trade and other receivables.

As of 31 December 2011 no amount has a maturity of more than one year.

Due from banks consisted of the following at 31 December:

Interest bearing deposits 2.778 3.599

Mandatory reserve deposits with central banks 1.431 530

Loans and advances - 2.476

Cash Collateral related to securities lending transactions 3.864.134 4.359.654

Total due from banks 3.868.343 4.366.259

Less: impairments (97) (754)

Net due from Banks 3.868.246 4.365.505

None of the amounts in the Due from banks items were subordinated in 2011 or 2010.

The receivable relating to the securities lending transactions refers to the cash collateral requirements of counterparties.

Of the Due from banks item the following amounts were due from:

ABN AMRO Group companies 3.511.311 2.989.868

Third parties 356.935 1.375.637

Total due from banks 3.868.246 4.365.505

48 Notes to the consolidated balance sheet as at 31 December 2011

2011 2010

16. Loans and receivables - customers 12.563.088 9.363.399

This includes all account receivable from customers relating to business operations, insofar as these are not categorised as cash and cash equivalents or Trade and other receivables.

As of 31 December 2011 a total amount of 636.290 (x € 1.000) has a maturity of more than 3 months but less than one year.

The composition of due from customers at 31 December is as follows:

Commercial loans 10.804.071 9.099.903

Cash Collateral related to securities lending transactions 1.781.035 284.865

Total due from customers 12.585.106 9.384.768

Less: impairments (22.018) (21.369)

Net due from customers 12.563.088 9.363.399

Of the commercial loans an amount of € 5.792 million was granted to ABN AMRO Group companies (2010 € 4.068 million). The effective interest rate is the applicable market reference rate (i.e. Eonia, Sonia) including mark up at arms length.

All due from customers are fully collateralised (i.e. cash, equities, bonds).

Of the Due from customers item the following amounts were due from:

ABN AMRO Group companies 7.227.204 4.137.791

Third parties 5.335.884 5.225.608

Total due from customers 12.563.088 9.363.399

17. Financial assets held for trading 3.622 5.037

Trading assets contains mainly derivatives. Derivatives include forwards, futures, swaps and options contracts, all of which derive their value from underlying interest rates, foreign exchange rates, equity instruments or credit instruments.

The risk of the OTC derivatives is offset by the identical contracts (trading liabilities), therefore risk is limited

The trading assets consist of the following financial instruments:

Over the counter (OTC) 3.622 4.985

Other trading assets - 52

Total financial assets held for trading 3.622 5.037

The notional amounts of OTC derivative contracts are not recorded in the balance sheet as assets or liabilities and do not represent the potential for gain or loss association with such transactions. ABN AMRO Clearing Bank N.V.’s exposure to the credit risk associated with counterparty non-performance is limited to the net positive replacement costs of the derivative contracts.

The notional amounts of the OTC derivatives are € 207 million as per 31 December 2011 and € 322 million as per 31 December 2010.

49

2011 2010

18. Investments available for sale 50.222 49.154

Movements in the investments available for sale were as follows:

Opening balance as at 1 January 49.154 37.168

Sales to third parties (127) (5.136)

Additions 9.590 12.406

Gross revaluation to equity (9.383) 927

Exchange rate differences 988 3.789

Closing balance as at December 31 50.222 49.154

There were no impairments on the investments available for sale in 2010 or 2011.

19. Trade and other receivables 1.750.269 1.031.623

This item includes all trade and other receivables arising from the normal course of business.

There were no impairments recorded for the trade and other receivables in 2011 or 2010.

50

2011 2010

20. Property and equipment 15.537 11.637

The table below shows the categories of property and equipment at 31 December against net book value.

2011

Leasehold improvements Equipment IT equipment Total

Cost basis at 1 January 3.150 2.634 23.138 28.922

Additions 1.549 313 7.533 9.395

Disposal (310) (377) (717) (1.404)

Foreign exchange differences 169 35 1.121 1.325

Cost basis at 31 December 4.558 2.605 31.075 38.238

Accumulated depreciation 1 January (1.853) (1.042) (14.390) (17.285)

Depreciation expense (422) (318) (5.223) (5.963)

Disposal 257 301 715 1.273

Foreign exchange differences (30) (20) (676) (726)

Accumulated depreciation at 31 December (2.048) (1.079) (19.574) (22.701)

Closing balance as at 31 December 2.510 1.526 11.501 15.537

2010

Leasehold improvements Equipment IT equipment Total

Cost basis at 1 January 2.432 1.618 16.962 21.012

Additions 464 844 4.386 5.694

Disposal - (11) (76) (87)

Foreign exchange differences 254 183 1.866 2.303

Cost basis at 31 December 3.150 2.634 23.138 28.922

Accumulated depreciation 1 January (1.392) (697) (9.263) (11.352)

Depreciation expense (294) (246) (4.090) (4.630)

Disposal - 11 76 87

Foreign exchange differences (167) (110) (1.113) (1.390)

Accumulated depreciation at 31 December (1.853) (1.042) (14.390) (17.285)

Closing balance as at 31 December 1.297 1.592 8.748 11.637

No impairments have been recorded to the property and equipment during 2010 and 2011. Property and equipment are depreciated in 10 years, hardware in 3 years.

Notes to the consolidated balance sheet as at 31 December 2011

51

2011 2010

21. Intangible assets 2.555 1.506

The Intangible assets item consists solely of software that is not an integral part of the related hardware.

Cost basis as at 1 January 4.858 3.382

Purchase subsidiary - -

Additions 2.020 1.116

Disposal (90) (2)

Foreign exchange differences 225 362

Cost basis at 31 December 7.013 4.858

Accumulated depreciation 1 January (3.352) (2.351)

Purchase subsidiary - -

Depreciation expense (1.066) (753)

Disposal 88 -

Foreign exchange differences (128) (248)

Accumulated depreciation as at 31 December (4.458) (3.352)

Closing balance as at 31 December 2.555 1.506

Software is amortised in 3 years.

22. Current tax assets 2.804 148

The current tax asset is the calculated tax position based on actual income over the year less the prepayments made during the year based on the profit estimations.

23. Deferred tax assets 12.817 1.677

The deferred tax assets refers to the tax effect of a different valuation of assets and liabilities under local tax laws compared to the IFRS valuation.

An amount of € 10,7 million of the deferred tax is caused by the change in the methodology of the NIH.

24. Other assets 48.063 79.168

The table below shows the components of Other assets at 31 December:

Accrued interest income 11.436 7.210

Accrued other income 4.730 2.774

Accrued assets related to transactions 16.073 52.187

Prepayments 14.158 3.506

Other 1.666 13.491

Closing balance as at December 31 48.063 79.168

For the details on the income tax receivable we refer to the Current and deferred tax liability item.

52 Notes to the consolidated balance sheet as at 31 December 2011

2011 2010

25. Contingent Assets 3.749.453 4.711.652

The contingent assets consist of the following:

Securities lending 3.534.352 4.657.347

Other contingent assets 215.101 54.305

Total contingent assets 3.749.453 4.711.652

Contingent assets arising from securities lending consists almost entirely of related parties.

In its capacity as a clearing member for market makers, ABN AMRO Clearing Bank N.V. makes use of the collateral deposited with De Nederlandsche Bank by ABN AMRO Bank N.V.

The other contingent assets relates to a debt recovery agreement and collateral from third parties.

Total contingent assets 3.749.453 4.711.652

Secured by collateral 3.742.410 4.704.147

Net contingent assets 7.043 7.505

53

LIABILITIES 2011 2010

26. Due to banks 15.352.149 13.327.968

The table below shows the components of due to banks at 31 December:

Demand deposits due to banks 2.282.621 2.377.125

Time deposits due to banks 13.069.528 10.950.843

Closing balance as at 31 December 15.352.149 13.327.968

Of the due to banks item the following amounts were with:

Demand deposits due to banks ABN AMRO Group 1.887.803 2.073.302

Time deposits due to banks ABN AMRO Group 12.994.675 10.949.749

Total ABN AMRO Group companies 14.882.478 13.023.051

Demand deposits due to third party banks 394.818 303.823

Time deposits due to third party banks 74.853 1.094

Total third party banks 469.671 304.917

Closing balance as at 31 December 15.352.149 13.327.968

Contractual terms of deposits held by banks

In 2011 a total amount of 705.602 (x € 1.000) has a maturity of more than 3 months but less than one year.

27. Due to customers 5.207.057 4.378.749

The components of due to customers at 31 December are as follows:

Demand deposits due to customers 4.482.720 3.499.816

Time deposits due to customers 309.585 691.109

Repurchase agreements with customers 2.260 1.467

Cash Collateral related to securities lending transactions 249.253 42.190

Other borrowings 163.239 144.167

Closing balance as at 31 December 5.207.057 4.378.749

Other borrowings mostly relate to margin accounts.

54

2011 2010

The due to customers item can be split up between ABN AMRO Group customers and third party customers as follows:

Demand deposits due to customers ABN AMRO Group 28.542 9.450

Time deposits due to customers ABN AMRO Group 309.347 690.937

Total ABN AMRO Group companies 337.889 700.387

Demand deposits due to customers third party 4.454.178 3.490.366

Time deposits due to customers third party 238 172

Reverse repurchase agreements 2.260 1.467

Cash collateral related to securities lending transactions 249.253 42.190

Other borrowings 163.239 144.167

Total third party customers 4.869.168 3.678.362

Closing balance as at 31 December 5.207.057 4.378.749

In 2011 a total amount of 37.930 (x € 1.000) has a maturity of more than 3 months but less than one year.

28. Financial liabilities held for trading 5.366 12.794

The trading liabilities consist of the following:

Over the counter (OTC) 3.622 4.985

Other trading liabilities 1.744 7.809

Total financial liabilities held for trading 5.366 12.794

The notional amounts of OTC derivative contracts are not recorded in the balance sheet as assets or liabilities and do not represent the potential for gain or loss association with such transactions. ABN AMRO Clearing Bank N.V.’s exposure to the credit risk associated with counterparty non-performance is limited to the net positive replacemnet costs of the derivative contracts.

The notional amounts of the OTC derivatives are € 207 million as per 31 December 2011 and € 322 million as per 31 December 2010.

Other trading liabilities consists of trading portfolios, which are a remainder of defaulted client trading portfolios. These portfolios are managed by ABN AMRO Clearing Bank N.V. and will be liquidated in due course.

29. Current tax liabilities 27.564 13.223

The current tax liability is the calculated tax position based on actual income over the year less the prepayments made during the year based on the profit estimations. However, as two main group companies form part of a local tax unity, prepayments are made and booked at central level. Therefore, at year-end the full amount of tax is still considered to be paid at the level of the entities.

Notes to the consolidated balance sheet as at 31 December 2011

55

2011 2010

30. Deferred tax liabilities 1.098 3.674

The deferred tax liabilities are related to investments AFS.

In AACB London branch, we own equity investments in the exchanges (LCH, LME, BATS). These investments will be taxed upon on a realisation basis. The deferred tax liability of 1,098 (x € 1.000) reflects the tax effect of an upward re-valuation of the AFS investments in the annual accounts. Taxation will become due on the potential capital gain when the asset is disposed of.

In 2009 and 2010 the Tax rate in the Netherlands was 25,5%. Deferred tax liabilities at 31 December 2011 in the Netherlands are reported against 25%, the enacted tax rate.

There were no write-downs of deferred tax liabilities during 2010 or 2011.

31. Accrued interest, expenses and other liabilities 749.278 803.360

As at 31 December the composition of accrued interest and other liabilities is as follows:

Accrued interest charges 12.844 14.675

Accrued other charges 76.718 52.629

Defined benefit obligations 2.973 2.945

Payables related to securities transactions 619.029 348.569

Payables related to hedge instruments -* 347.685

Accounts payable 5.991 7.400

Other 31.723 29.457

Closing balance as at 31 December 749.278 803.360

* Due to the change of the Net Investment Hedge methodology this amount is zero.

ABN AMRO Clearing Bank N.V. is operating a defined benefit pension plan for some employees in Germany and for all the employees of the subsidiary EMCF. The pension plan in Germany is closed to new employees and none of the employees entitled to benefits of the plan is in active service. The pension plan for EMCF employees started in 2011. The current beneficiaries are only employees in active service.

Pension obligations are determined by mortality, wage drift and economic assumptions such as inflation, value of plan assets and discount rate. The defined benefit plan is not funded by plan assets, which means that no return on plan assets has been taken into account.

The following table reflects the changes in net-pension liabilities:

Defined benefit liability as at 1 January 2.945 3.140

Total defined benefit expense 464 (17)*

Benefits paid (436) (178)

Defined benefit liability as at 31 December 2.973 2.945

* This amount comprises an adjustment for previous year of 161 (x € 1.000).

2011 2010

The following table provides details on the amounts shown in the balance sheet at 31 December regarding pensions and other post employment benefits.

Present value of defined benefit obligations 3.171 3.140

Fair value of plan assets (158) -

Unrecognised actuarial loss (40) (195)

Defined benefit liability as at 31 December 2.973 2.945

Net loss (gain) in excess of 10% of the Defined benefit liability is charged to the income statement in the year of occurrence as the remaining service of active participants is nil. The corridor of 10% of the defined benefit liability is € 297.300 (2010 € 301.200)

Economic assumptions Germany The discount rate for pension cost purposes is the rate at which the pension obligations could be effectively settled. This rate is based on high-grade bond yields, after allowing for call and default risk. The following bond yields illustrate how the economic environment has changed since the prior year.

2011 2011

German Government Fixed Interest 10-year bond 2,24% 2,61%

German Government Fixed Interest 30-year bond 2,91% 3,15%

iBoxx 10 year+ Annual AA Allstock Corporate Bond index 5,10% 4,45%

The assumptions for pension cost purposes are:

Discount rate: 5,01%* 5,30%*

Future Pension increases 2,00% 2,00%

Salary increase rate n/a n/a

* The discount rate of 5,01% has been advised by the German Central Bank and is used by ABN AMRO entities in Germany. The German Central Bank rate is based on an average rate of the last seven years.

Economic assumptions E.M.C.F. The discount rate is based upon the yields available on high quality corporate bonds at the valuation date with a term that matches that of the liabilities. AA-credit rates bonds are generally considered to satisfy the quality criterion using Bloomberg data, a yield curve was derived from it to determine the appropriate discount rate based on the cash flows of the liabilities.

2011 2011

The assumptions for pension cost purposes are:

Discount rate: 5,90% 5,70%

Future Pension increases 2,00% 2,00%

Salary increase rate 2,50% 2,50%

Defined contribution plansABN AMRO Clearing Bank N.V. operates a number of defined contribution plans worldwide. The employer’s commitment in a defined contribution plan is limited to the payment of contributions calculated in accordance with the plan regulations. Employer contribution plans amounted to € 2.041 in 2011 (2010: € 1.467 and are included in Staff expenses.

56 Notes to the consolidated balance sheet as at 31 December 2011

2011 2010

32. Provisions 8.180 3.044

This item mainly consists of a claim received with respect to the settlement of a default client in 2008. The addition is made due to new information.

The movements in this provision were:

Opening balance as at 1 January 3.044 1.263

Additions for the period 5.136 1.788

Release for the period - (7)

Closing balance as at 31 December 8.180 3.044

33. Equity 759.329 643.255

Issued and paid-up share capital of ABN AMRO Clearing Bank N.V. was not changed in the year 2011. Authorised share capital amounts to € 50.000.000 distributed over 50.000 shares each having a nominal value of 1.000. Of this authorised share capital, 15.000 stock were issued and paid up against a nominal value of 1.000. At year-end 2011, all shares were held by ABN AMRO Bank N.V.

Share capital 15.000 15.000

Share premium 250* -

Retained earnings 619.869 537.607

Unrealised gains and losses 9.493 8.177

Unappropriated result of the year 114.717 82.471

Shareholders’ equity 759.329 643.255

* On 11 November 2011 a legal merger took place between ABN AMRO Global Services N.V. (AAGCS) and ABN AMRO Clearing Safekeeping N.V. (AACS). ABN AMRO Bank N.V. transferred its certificates of shares in AAGCS to ABN AMRO Clearing Bank N.V. as part of this merger. Stichting ABN AMRO Global Custody holds the shares of AAGCS and issued certificates of shares in AAGCS. The value of these certificates is reported as a share premium.

For the details on the changes in shareholders’ equity we refer to the consolidated statement of changes in shareholders’ equity.

The composition and movements in unrealised gains and losses are shown in the table below:

Gross AFS reserve 3.181 12.564

Related tax (1.098) (3.438)

AFS reserve 2.083 9.126

Translation reserve 53.283 43.228

Gross Revaluation reserve (61.575) (59.299)

Related tax 15.702 15.122

Revaluation reserve (45.873) (44.177)

Unrealised gains as at 31 December 9.493 8.177

The related tax on revaluation reserve can be split in two categories. From the total amount of € 15.7 mio an amount of € 10.7 mio is related to the deferred tax asset of the NIH (see note 23). The remaining amount of € 5.0 mio is related to the changes in the NIH up to and including 2009. Untill that year the tax amount of the NIH was already settled with the tax authorithies.

57

58 Notes to the consolidated balance sheet as at 31 December 2011

2011 2010

The unrealised currency translation differences are referring to the revaluation of the share capital of the subsidiaries in Singapore, Japan, Hong Kong, Australia, United States and the activities in United Kingdom.

Unrealised gains as at 1 January 8.177 (1.152)

Unrealised gain during the year (8.739) (29.692)

Unrealised currency translation differences 10.055 39.021

Unrealised gains as at 31 December 9.493 8.177

34. Non-Controlling Interests 5.429 4.230

The non-Controlling Interests relates to the subsidiary European Multilateral Clearing Facility N.V., of which 22% is held by a third party and 1% is held by ABN AMRO Bank N.V.

35. Contingent Liabilities 5.324.233 7.121.217

The contingent liabilities consist of the following:

Securities borrowing 5.009.307 6.817.831

Guarantees 314.926 303.386

Total contingent liabilities 5.324.233 7.121.217

The guarantees have been given to third parties and are devided as follows:

Guarantees given to subsidiaries 291.092 281.682

Guarantees given to Exchanges 23.834 21.704

Total Guarantees 314.926 303.386

Contingent liabilities arising from securities borrowing consists almost entirely of related parties. All these securities are borrowed from the parent company (ABN AMRO BANK N.V.).

Total contingent liabilities 5.324.233 7.121.217

Secured by collateral 5.009.307 6.817.831

Net contingent liabilities 314.926 303.386

ABN AMRO Clearing Bank N.V. and its subsidiaries are

involved in court procedures.

In August 2007, Sentinel Management Group, Inc.

(‘Sentinel’), a futures commission merchant that managed

certain customer segregated funds for ABN AMRO Clearing

Chicago LLC, filed for bankruptcy. Shortly before Sentinel

filed for bankruptcy, Sentinel sold certain securities to

Citadel Equity Fund, Ltd. (“Citadel”). The U.S. Bankruptcy

Court ordered funds from the sale to Citadel be distributed

to certain Sentinel customers. ABN AMRO Clearing

Chicago LLC received its pro rata share which totalized

$52,755,815. On or about September 15, 2008, the

bankruptcy trustee filed an adversary proceeding (the

‘Complaint’) against all of the recipients of the court

ordered distribution of funds from the Citadel sale,

including ABN AMRO Clearing Chicago LLC. The

Complaint also includes a claim for money ABN AMRO

Clearing Chicago LLC received shortly before Sentinel

filed for bankruptcy in the amount of $4,000,399.

Management of ABN AMRO Clearing Chicago LLC,

after consultation with legal counsel cannot yet express

an opinion as to the ultimate outcome of the proceeding.

Management believes the claims are without merit.

ABN AMRO Clearing Chicago LLC intends to vigorously

defend against the Complaint. Accordingly, no provision

has been made in the financial statements for any loss

that may result from the Complaint.

ABN AMRO Clearing Sydney has also provided for an

ongoing legal dispute which has arisen in the course of

normal business relating to ownership of certain asset

holding positions. The case is currently under appeal

and is due to be considered by the court in late 2012.

The outcome of the dispute will depend upon the legal

proceedings.

legal procedures

59

company financial statements of ABN AMRO Clearing Bank N.V. for the year 2011

60

company income statement for the period ended 31 december 2011

61

(x € 1.000) 2011 2010

Result from participating interests after tax 34.636 30.978

Other result after taxes 80.081 51.493

Net profit attributable to shareholders 114.717 82.471

company balance sheet as at 31 December 2011

Before profit appropriation (x € 1.000) 2011 2010

Assets

Cash and cash equivalents 2.577.631 3.282.606

Short term deposits 37.930 -

Loans and receivables - banks 3.777.296 2.912.819

Loans and receivables - customers 12.694.383 10.523.320

Financial assets held for trading 3.622 5.037

Investments available for sale 43.997 42.735

Participating interest in group companies 357.275 341.847

Trade and other receivables 4.978 4.201

Property and equipment 6.342 4.213

Intangible assets 74 149

Current tax assets 912 56

Deferred tax assets 11.000 126

Other assets 29.897 69.452

Total assets 19.545.337 17.186.561

Contingent Assets 3.749.453 4.711.652

Liabilities

Due to banks 14.941.327 13.230.597

Due to customers 3.745.584 2.868.833

Financial liabilities held for trading 5.366 12.794

Current tax liabilities 26.295 11.083

Deferred tax liabilities 1.098 3.674

Accrued interest, expenses and other liabilities 66.320 416.318

Provisions 18 7

Total liabilities 18.786.008 16.543.306

62

63

2011 2010

Shareholders’ equity

Share capital 15.000 15.000

Share premium 250 -

Retained earnings 611.035 528.564

Unrealised gains and losses AFS 4.649 11.052

Unrealised gains and losses Currency translation 59.551 50.346

Unrealised gains and losses Other (45.873) (44.178)

Unappropriated result of the year 114.717 82.471

Total Equity 759.329 643.255

Total Liabilities and Shareholders’ equity 19.545.337 17.186.561

Contingent Liabilities 5.324.233 7.121.217

64

notes to the company financial statements for the year 2011

General ABN AMRO Clearing’s company financial statements

have been prepared in accordance with Title 9, Book 2 of

the Netherlands Civil Code, applying the same accounting

policies as for the consolidated financial statements.

Principles for the measurement of assets and liabilities and the determination of the resultFor setting the principles for the recognition and measu-

rement of assets and liabilities and determination of the

result for its Company Financial Statements, ABN AMRO

Clearing Bank N.V. makes use of the option provided

in section 2:362(8) of the Netherlands Civil Code. By

making use of the option reconciliation is maintained

between the Consolidated and the Company’s equity.

This means that the principles for the recognition and

measurement of assets and liabilities and determination

of the result (hereinafter referred to as principles for

recognition and measurement) of the Company Finan-

cial Statements of ABN AMRO Clearing Bank N.V. are

the same of those applied for the Consolidated IFRS

Financial Statements. Participating interests, over which

significant influence is exercised, are stated on the basis

of the equity method. The Consolidated IFRS Financial

Statements are prepared according to the standards laid

down by the International Accounting Standards Board

and adopted by the European Union.

See the notes to the consolidated balance sheet and

income statement for items, which are not explained.

In the separate profit and loss account of ABN AMRO

Clearing Bank N.V. the exemption referred to in Section

402 of Book 2 of the Dutch Civil Code has been applied.

2011 2010

Participating interest in group companies 357.275 341.847

The wholly owned subsidiaries are:

OCA POM B.V., with registered office in Amsterdam, The Netherlands;

ABN AMRO Clearing Singapore Pte., with registered office in Singapore;

ABN AMRO Clearing Tokyo Co Ltd, with registered office in Tokyo, Japan;

European Multilateral Clearing Facility NV, with registered office in Amsterdam, The Netherlands;

ABN AMRO Clearing Hong Kong Ltd, with registered office in Hong Kong;

ABN AMRO Clearing Sydney Pty Ltd, with registered office in Sydney, Australia;

ABN AMRO Clearing Chicago LLC., with registered office in Chicago, United States.

Holland Clearing House N.V., with registered office in Amsterdam, The Netherlands

The movements in the participating interest in group companies, which are valued at net equity value, were as follows:

Balance as at 1 January 341.847 302.263

Acquisition (transfer) - -

Increase of capital 8.000 (19.144)

Dividend paid out (38.051) (5.106)

Exchange differences 10.843 32.856

Sale of shares - -

Result for the year 34.636 30.978

Balance as at 31 December 357.275 341.847

65

The following table shows the details of the investments to be consolidated:

Entitle-ments

Currency Shareholders’ equity 2011

Net result 2011

Shareholders’ equity 2011

in EUR

(x 1.000) (x 1.000) (x 1.000)

ABN AMRO Clearing Chicago LLC 100% USD 201.084 19.400 154.862

ABN AMRO Clearing Sydney Pte.Ltd 100% AUD 80.547 8.716 63.521

ABN AMRO Clearing (Options) Hong Kong Ltd 100% HKD 848.981 146.005 84.182

ABN AMRO Clearing Shoken Kabushiki Kaisha 100% JPY 2.713.886 (226.020) 27.136

ABN AMRO Clearing Singapore Pte 100% SGD 5.142 42 3.056

European Multilateral Clearing Facility N.V. 77% EUR 18.176 4.016 18.176

Holland Clearing House N.V. 100% EUR 6.241 (1.759) 6.241

OCA POM B.V. 100% EUR 101 - 101

357.275

(x € 1.000) 2011

Share capital

Premium Share

Retained earnings

Unrealised gains and

losses

Result of the year

Total Equity

Opening balance at 1 January 15.000 528.566 17.218 82.471 643.255

Profit appropriation 82.471 (82.471) -

AFS reserve (6.403) (6.403)

Translation reserve -2 9.207 9.205

Revaluation reserve (1.695) (1.695)

Increase of Capital 250 250

Unappropriated result of the year - 114.717 114.717

Closing balance as at December 15.000 250 611.035 18.327 114.717 759.329

(x € 1.000) 2010

Share capital

Premium Share

Retained earnings

Unrealised gains and

losses

Result of the year

Total Equity

Opening balance at 1 January 15.000 419.829 6.086 108.737 549.652

Profit appropriation 108.737 (108.737) -

AFS reserve 1.267 1.267

Translation reserve (30.698) (30.698)

Revaluation reserve 40.563 40.563

Unappropriated result of the year 82.471 82.471

Closing balance as at December 15.000 - 528.566 17.218 82.471 643.255

Movements in equity

aquisitions

There were no acquisitions made in 2011 by ABN AMRO Clearing Bank N.V:

Amsterdam, 9 May 2012

Executive Board

M.C. Jongmans

J.B.M. de Boer

A.P. Boers

66

67

other informationindependent auditor’s report

We have audited the accompanying financial statements

2011 of ABN AMRO Clearing Bank N.V., Amsterdam.

The financial statements include the consolidated financial

statements and the company financial statements. The

consolidated financial statements comprise the consolidated

statement of financial position as at 31 December

2011, the consolidated statements of comprehensive

income, consolidated statement of changes in Equity

and the consolidated cash flow statement for the year

then ended, and notes, comprising a summary of the

significant accounting policies and other explanatory

information. The company financial statements comprise

the company balance sheet as at 31 December 2011,

the company income statement for the year then ended

and the notes, comprising a summary of the accounting

policies and other explanatory information.

Management’s responsibilityManagement is responsible for the preparation and fair

presentation of the financial statements in accordance

with International Financial Reporting Standards as

adopted by the European Union and with Part 9 of Book

2 of the Netherlands Civil Code, and for the preparation

of the report by the Executive Board and the report

of the Supervisory Board in accordance with Part 9 of

Book 2 of the Netherlands Civil Code. Furthermore,

management is responsible for such internal control as it

determines is necessary to enable the preparation of the

financial statements that are free from material

misstatement, whether due to fraud or error.

Auditor’s responsibilityOur responsibility is to express an opinion on these

financial statements based on our audit. We conducted

our audit in accordance with Dutch law, including the

Dutch Standards on Auditing. This requires that we comply

with ethical requirements and plan and perform the audit

to obtain reasonable assurance about whether the finan-

cial statements are free from material misstatement.

An audit involves performing procedures to obtain audit

evidence about the amounts and disclosures in the finan-

cial statements. The procedures selected depend on the

auditor’s judgment, including the assessment of the risks

of material misstatement of the financial statements, whether

due to fraud or error. In making those risk assessments,

the auditor considers internal control relevant to the

entity’s preparation and fair presentation of the financial

statements in order to design audit procedures that

are appropriate in the circumstances, but not for the

purpose of expressing an opinion on the effectiveness

of the entity’s internal control. An audit also includes

evaluating the appropriateness of accounting policies

used and the reasonableness of accounting estimates

made by management, as well as evaluating the overall

presentation of the financial statements.

We believe that the audit evidence we have obtained is

sufficient and appropriate to provide a basis for our audit

opinion.

Opinion with respect to the consolidated financial statementsIn our opinion, the consolidated financial statements

give a true and fair view of the financial position of

ABN AMRO Clearing Bank N.V. as at 31 December 2011

and of its result and its cash flows for the year then ended

in accordance with International Financial Reporting

Standards as adopted by the European Union and with

Part 9 of Book 2 of the Netherlands Civil Code.

Opinion with respect to the company financial statementsIn our opinion, the company financial statements give a

true and fair view of the financial position of ABN AMRO

Clearing Bank N.V. as at 31 December 2011 and of its

result for the year then ended in accordance with Part 9

of Book 2 of the Netherlands Civil Code.

Report on the financial statements

Pursuant to the legal requirements under Section 2:393

sub 5 at e and f of the Netherlands Civil Code, we have

no deficiencies to report as a result of our examination

whether the management board report, to the extent we

can assess, has been prepared in accordance with part 9

of Book 2 of this Code, and if the information as required

under Section 2:392 sub 1 at b - h has been annexed.

Further, we report that the report by the Executive

Board and the report by the Supervisory Board, to the

extent we can assess, is consistent with the financial

statements as required by Section 2:391 sub 4 of the

Netherlands Civil Code.

Amsterdam, 9 May 2012

KPMG ACCOUNTANTS N.V.

M.A. Hogeboom RA

Report on other legal and regulatory requirements

68 Other information. Independent auditor’s report

69

Post-balance sheet date events

According to the dividend policies within ABN AMRO

Group N.V. an amount of € 125.000.000 is paid out as

dividend to ABN AMRO Bank N.V. on February 1st, 2012.

Rules on profit appropriation as set out in the Articles of Association

The profit shown in the Profit and Loss Account as

adopted by the General Meeting of Shareholders has

been placed at the disposal of the General Meeting of

Shareholders.

Profit appropriation

The ABN AMRO group policy is to upstream dividends

from subsidiaries where appropriate. The dividend 2011

will be based on our current and projected consolidated

capital ratio’s and local regulatory and exchange require-

ments in combination with our growth strategy. The 2011

dividend amount will be decided at the General Meeting

of Shareholders in May 2012.

71

ABN AMRO Clearing Bank N.V.

Gustav Mahlerlaan 10

1082 PP Amsterdam

Mailing address:

P.O. Box 283

1000 EA Amsterdam

address

abnamroclearing.com